Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/235304 
Year of Publication: 
2021
Series/Report no.: 
CESifo Working Paper No. 8934
Publisher: 
Center for Economic Studies and Ifo Institute (CESifo), Munich
Abstract: 
We analyse the extent to which firm-level uncertainty is affected by aggregate uncertainty. Firm-level uncertainty is constructed from a large and monthly panel dataset of manufacturing firms. We find that aggregate uncertainty has a positive and robust impact on firm-level uncertainty. This effect holds across different types of domestic and international measures of aggregate uncertainty. However, the size of the impact is heterogeneous and depends on certain firm characteristics and the state of the business cycle. For example, the widely used economic policy uncertainty index matters to all firms’ uncertainty only in recessionary periods, while it is relevant over the entire business cycle only to large firms’ uncertainty.
Subjects: 
firm-level uncertainty
aggregate uncertainty
survey data
JEL: 
C23
E32
E01
Document Type: 
Working Paper
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