Working Paper: NBER ID: w11388
Authors: Diego Comin; Thomas Philippon
Abstract: We document that the recent decline in aggregate volatility has been accompanied by a large increase in firm level risk. The negative relationship between firm and aggregate risk seems to be present across industries in the US, and across OECD countries. Firm volatility increases after deregulation. Firm volatility is linked to research and development spending as well as access to external financing. Further, R&D intensity is also associated with lower correlation of sectoral growth with the rest of the economy.
Keywords: No keywords provided
JEL Codes: E3; O3; D4
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| R&D Investment (O32) | Correlation of Sectoral Growth with Aggregate Growth (O40) |
| Aggregate Volatility (C58) | Firm Volatility (G17) |
| R&D Spending (O32) | Firm Volatility (G17) |
| Deregulation (L51) | Firm Volatility (G17) |