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The Rise in Firm-Level Volatility: Causes and Consequences

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Author Info
Diego Comin
Thomas Philippon

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Abstract

We document that the recent decline in aggregate volatility has been accompanied by a large increase in firm level risk. The negative relationship between firm and aggregate risk seems to be present across industries in the US, and across OECD countries. Firm volatility increases after deregulation. Firm volatility is linked to research and development spending as well as access to external financing. Further, R&D intensity is also associated with lower correlation of sectoral growth with the rest of the economy.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 11388.

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Date of creation: May 2005
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Handle: RePEc:nbr:nberwo:11388

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Find related papers by JEL classification:
E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
O3 - Economic Development, Technological Change, and Growth - - Technological Change
D4 - Microeconomics - - Market Structure and Pricing

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