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The Rise in Firm-Level Volatility: Causes and Consequences

Diego Comin and Thomas Philippon ()

No 11388, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We document that the recent decline in aggregate volatility has been accompanied by a large increase in firm level risk. The negative relationship between firm and aggregate risk seems to be present across industries in the US, and across OECD countries. Firm volatility increases after deregulation. Firm volatility is linked to research and development spending as well as access to external financing. Further, R&D intensity is also associated with lower correlation of sectoral growth with the rest of the economy.

JEL-codes: D4 E3 O3 (search for similar items in EconPapers)
Date: 2005-05
New Economics Papers: this item is included in nep-bec, nep-ino, nep-mac and nep-rmg
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (231)

Published as The Rise in Firm-Level Volatility: Causes and Consequences , Diego A. Comin, Thomas Philippon. in NBER Macroeconomics Annual 2005, Volume 20 , Gertler and Rogoff. 2006

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