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Master Thesis

Convergent trends in aggregate and firm volatility

Abstract : This article unearths the determinants of the volatility of aggregate and firm-level production proxied by output and turnover respectively. This article re-visits Comin and Mulani's Note on the diverging trends between aggregate and firm volatility. Similarly to their conclusions, I establish that firm volatility is not driven by a compositional bias in my sample and that it's entirely driven by its covariance element. Contrary to their conclusions, I find a convergence between firm-level and aggregate level volatility due in part to the 2007 financial crisis.
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Master Thesis
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Contributor : Centre de Documentation Du Centre d'Économie de la Sorbonne <>
Submitted on : Tuesday, November 19, 2013 - 3:04:29 PM
Last modification on : Monday, February 22, 2021 - 3:26:02 PM
Long-term archiving on: : Thursday, February 20, 2014 - 9:26:06 AM


  • HAL Id : dumas-00906295, version 1


Joseph Richard Pollack. Convergent trends in aggregate and firm volatility. Economics and Finance. 2013. ⟨dumas-00906295⟩



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