Aggregated output in industrialized countries has become less volatile over the past decades. Whether this Great Moderationu94 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.
展开▼
机译：在过去的几十年中，工业化国家的总产出波动性有所降低。是否可以在公司级别的数据中找到“ Great Moderation”仍然存在争议。我们使用平衡的面板数据集研究了覆盖德国公司的35年（1971年至2005年）和每年约1,500家公司的企业水平产出波动的演变。与早期使用公司水平数据进行的工作相反，我们使用Pesaran（2006）提出的多因素残差模型将公司实际销售增长的特质成分与宏观经济发展隔离开来。我们的论文有三个主要发现。首先，德国无条件企业水平和总产出波动率的时间趋势相似。长期存在下降趋势，但被统一时期打断了。其次，有条件的，特殊的公司水平波动率没有下降趋势。如果有什么特质的波动一直在缓慢的趋势上升。第三，我们发现在企业层面，增长与波动之间存在正向联系的证据。
展开▼
