Advanced Search
MyIDEAS: Login to save this paper or follow this series

Great Moderation at the Firm Level? Unconditional vs. Conditional Output Volatility

Contents:

Author Info

  • Claudia M. Buch
  • Jörg Döpke
  • Kerstin Stahn

Abstract

Aggregated output in industrialized countries has become less volatile over the past decades. Whether this “Great Moderation” can be found in firm level data as well remains disputed. We study the evolution of firm level output volatility using a balanced panel dataset on German firms that covers 35 years (1971-2005) and about 1,500 firms per year. In contrast to earlier work using firm level data, we use the multifactor residual model proposed by Pesaran (2006) to isolate the idiosyncratic component of firms’ real sales growth from macroeconomic developments. Our paper has three main findings. First, time trends in unconditional firm level and aggregated output volatility in Germany are similar. There has been a long-run downward trend, which was interrupted by the unification period. Second, the conditional, idiosyncratic firm level volatility does not exhibit a downward trend. If anything idiosyncratic volatility has been on a slow trend rise. Third, we find evidence of a positive link between growth and volatility at the firm level.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2008/wp-cesifo-2008-06/cesifo1_wp2324.pdf
Download Restriction: no

Bibliographic Info

Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 2324.

as in new window
Length:
Date of creation: 2008
Date of revision:
Handle: RePEc:ces:ceswps:_2324

Contact details of provider:
Postal: Poschingerstrasse 5, 81679 Munich
Phone: +49 (89) 9224-0
Fax: +49 (89) 985369
Email:
Web page: http://www.cesifo.de
More information through EDIRC

Related research

Keywords: firm level volatility; Great Moderation; multifactor residual model;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Cerqueiro, Geraldo & Degryse, Hans & Ongena, Steven, 2007. "Rules versus Discretion in Loan Rate Setting," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6450, C.E.P.R. Discussion Papers.
  2. Diego Comin & Thomas Philippon, 2005. "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Working Papers 11388, National Bureau of Economic Research, Inc.
  3. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, National Bureau of Economic Research, Inc, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
  4. Diego Comin & Sunil Mulani, 2006. "Diverging Trends in Aggregate and Firm Volatility," The Review of Economics and Statistics, MIT Press, vol. 88(2), pages 374-383, May.
  5. Luca Benati & Paolo Surico, 2009. "VAR Analysis and the Great Moderation," American Economic Review, American Economic Association, American Economic Association, vol. 99(4), pages 1636-52, September.
  6. Imbs, Jean, 2007. "Growth and volatility," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(7), pages 1848-1862, October.
  7. Ang, James S & Peterson, David R, 1985. " Return, Risk, and Yield: Evidence from Ex Ante Data," Journal of Finance, American Finance Association, American Finance Association, vol. 40(2), pages 537-48, June.
  8. Stephen Davis & John Haltiwanger & Ron Jarmin & Javier Miranda, 2006. "Volatility and Dispersion in Business Growth Rates: Publicly Traded Versus Privately Held Firms," Working Papers, Center for Economic Studies, U.S. Census Bureau 06-17, Center for Economic Studies, U.S. Census Bureau.
  9. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, Econometric Society, vol. 44(3), pages 461-65, May.
  10. M. Hashem Pesaran, 2004. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series 1331, CESifo Group Munich.
  11. Weber, Sebastian & Döpke, Jörg, 2006. "The within-distribution business cycle dynamics of German firms," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2006,29, Deutsche Bundesbank, Research Centre.
  12. Strotmann, Harald & Döpke, Jörg & Buch, Claudia M., 2006. "Does trade openness increase firm-level volatility?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2006,40, Deutsche Bundesbank, Research Centre.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Vannoorenberghe, G., 2012. "Firm-level volatility and exports," Journal of International Economics, Elsevier, Elsevier, vol. 86(1), pages 57-67.
  2. Gonzague Vannoorenberghe & Zheng Wang & Zhihong Yu, 2014. "Volatility and Diversification of Exports: Firm-Level Theory and Evidence," CESifo Working Paper Series 4916, CESifo Group Munich.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ces:ceswps:_2324. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Julio Saavedra).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.