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The Rise in Firm-Level Volatility: Causes and Consequences

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  • Diego Comin
  • Thomas Philippon

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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Bibliographic Info

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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Publication status: published as The Rise in Firm-Level Volatility: Causes and Consequences , Diego A. Comin, Thomas Philippon. in NBER Macroeconomics Annual 2005, Volume 20 , Gertler and Rogoff. 2006
Handle: RePEc:nbr:nberwo:11388

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