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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.

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Bibliographic Info

Paper provided by Research Institute of Economy, Trade and Industry (RIETI) in its series Discussion papers with number 12030.

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Length: 26 pages
Date of creation: May 2012
Date of revision:
Handle: RePEc:eti:dpaper:12030

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