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dc.contributor.authorBuch, Claudia M.en_US
dc.contributor.authorDöpke, Jörgen_US
dc.contributor.authorStahn, Kerstinen_US
dc.date.accessioned2008-06-23en_US
dc.date.accessioned2009-07-28T08:31:03Z-
dc.date.available2009-07-28T08:31:03Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/26369-
dc.description.abstractAggregated 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.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 2324en_US
dc.subject.jelE32en_US
dc.subject.jelD21en_US
dc.subject.ddc330en_US
dc.subject.keywordFirm level volatilityen_US
dc.subject.keywordgreat moderationen_US
dc.subject.keywordmultifactor residual modelen_US
dc.subject.stwGesamtwirtschaftliche Produktionen_US
dc.subject.stwProduktionen_US
dc.subject.stwUmsatzen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwPanelen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwDeutschlanden_US
dc.titleGreat moderation at the firm level?: unconditional vs. conditional Output volatilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn570139198en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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