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Master Thesis Year : 2013

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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Dates and versions

dumas-00906295 , version 1 (19-11-2013)

Identifiers

  • HAL Id : dumas-00906295 , version 1

Cite

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