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The Rise in Firm-Level Volatility: Causes and Consequences

In: NBER Macroeconomics Annual 2005, Volume 20

  • Diego A. Comin
  • Thomas Philippon

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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This chapter was published in:
  • Mark Gertler & Kenneth Rogoff, 2006. "NBER Macroeconomics Annual 2005, Volume 20," NBER Books, National Bureau of Economic Research, Inc, number gert06-1, August.
  • This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number 0072.
    Handle: RePEc:nbr:nberch:0072
    Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
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