We estimate the volatility of plant-level idiosyncratic shocks in U.S. manufacturing. We measure the variation in Revenue Total Factor Productivity not explained by either industry or economy-wide factors, or by establishments' characteristics. We find that idiosyncratic shocks are much larger than aggregate shocks, accounting for about 80% of the overall uncertainty faced by plants. Plants in the most volatile sector are subject to about six times as much idiosyncratic uncertainty as plants in the least volatile. We provide evidence suggesting that idiosyncratic risk is higher in industries where the extent of creative destruction is likely to be greater.
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