المستودع الأكاديمي جامعة المدينة

Great moderation at the firm level? Unconditional versus conditional output volatility

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dc.creator Buch, Claudia M.
dc.creator Döpke, Jörg
dc.creator Stahn, Kerstin
dc.date 2008
dc.date.accessioned 2013-10-16T07:06:31Z
dc.date.available 2013-10-16T07:06:31Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19724
dc.identifier ppn:572172850
dc.identifier RePEc:zbw:bubdp1:7363
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19724
dc.description Aggregated output in industrialized countries has become less volatile over the past decades. Whether this ?Great Moderation? can be found in firm level data as well remains disputed. We study the evolution of firm level output volatility using a balanced panel dataset on German firms that covers 35 years (1971-2005) and about 1,500 firms per year. In contrast to earlier work using firm level data, we use the multifactor residual model proposed by Pesaran (2006) to isolate the idiosyncratic component of firms? real sales growth from macroeconomic developments. Our paper has three main findings. First, time trends in unconditional firm level and aggregated output volatility in Germany are similar. There has been a long-run downward trend, which was interrupted by the unification period. Second, the conditional, idiosyncratic firm level volatility does not exhibit a downward trend. If anything idiosyncratic volatility has been on a slow trend rise. Third, we find evidence of a positive link between growth and volatility at the firm level.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2008,13
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject D21
dc.subject E32
dc.subject ddc:330
dc.subject firm level volatility
dc.subject Great Moderation
dc.subject multifactor residual model
dc.subject Gesamtwirtschaftliche Produktion
dc.subject Produktion
dc.subject Umsatz
dc.subject Volatilität
dc.subject Panel
dc.subject Konjunktur
dc.subject Deutschland
dc.title Great moderation at the firm level? Unconditional versus conditional output volatility
dc.type doc-type:workingPaper
dc.coverage 1971-2005


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