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Aggregate and Firm-Level Volatility in the Japanese Economy

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  • YoungGak KIM
  • Hyeog Ug KWON

Abstract

In this paper, we investigate the volatility of sales at the firm and the aggregate level using the longitudinal dataset of the Financial Statements Statistics of Corporations (FSSC). The main findings are as follows: (1) Firm-level volatility decreased until the mid-1990s but then increased again. (2) Aggregate-level volatility steadily decreased until the mid-1990s and has remained low since. (3) Decomposing the total variance of the growth rate of aggregated sales, we find that the divergence between firm-level and aggregate-level volatility is caused by the drastic decline and subsequent low level of the covariance of sales growth between different firms and the increase in individual firms' volatility.

Suggested Citation

  • YoungGak KIM & Hyeog Ug KWON, 2012. "Aggregate and Firm-Level Volatility in the Japanese Economy," Discussion papers 12030, Research Institute of Economy, Trade and Industry (RIETI).
    • Handle: RePEc:eti:dpaper:12030
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    1. Steven J. Davis & John Haltiwanger & Ron Jarmin & Javier Miranda, 2007. "Volatility and Dispersion in Business Growth Rates: Publicly Traded versus Privately Held Firms," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 107-180, National Bureau of Economic Research, Inc.
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    Cited by:

    1. MORIKAWA Masayuki, 2017. "Dispersion and Volatility of TFPQ in Service Industries," Discussion papers 17088, Research Institute of Economy, Trade and Industry (RIETI).
    2. Teruyama, Hiroshi & Goto, Yasuo & Lechevalier, Sebastien, 2018. "Firm-level labor demand for and macroeconomic increases in non-regular workers in Japan," Japan and the World Economy, Elsevier, vol. 48(C), pages 90-105.
    3. MORIKAWA Masayuki, 2017. "Dispersion and Volatility of TFPQ in Service Industries," Discussion papers 17088, Research Institute of Economy, Trade and Industry (RIETI).

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    More about this item

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • D21 - Microeconomics - - Production and Organizations - - - Firm Behavior: Theory
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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