Diverging Trends in Macro and Micro Volatility: Facts

Diego Comin and Sunil Mulani

No 10922, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper documents the diverging trends in volatility of the growth rate of sales at the aggregate and firm level. We establish that the upward trend in micro volatility is not simply driven by a compositional bias in the sample studied. We argue that this new fact sheds some shadows on the proposed explanations for the decline in aggregate volatility and that, given the symmetry of the diverging trends at the micro and macro level, a common explanation is likely. We conclude by describing one such theory.

JEL-codes: D2 E3 F1 (search for similar items in EconPapers)
Date: 2004-11
New Economics Papers: this item is included in nep-mac and nep-mic
Note: EFG
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Citations: View citations in EconPapers (10)

Published as Comin, Diego and Sunil Mulani. "Diverging Trends in Macro and Micro Volatility: Facts." Review of Economics and Statistics (May 2006).

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