We introduce a novel method for measuring economic uncertainty at the firm, sector, and aggregate levels using sales volatility and validate it by comparison with existing macroeconomic uncertainty measures. We use Compustat firms data in the period 2000-2022 to construct our uncertainty measures for the U.S. economy. Our findings highlight that 1) macroeconomic conditions are the predominant source of firms’ uncertainty, 2) diverse firm traits yield notable heterogeneity, and 3) the manufacturing sector exhibits the highest uncertainty among sectors. Our findings shed light on the importance of firm and sectoral heterogeneity in studying uncertainty and its effects on economic activity

Unpacking Economic Uncertainty: Measuring the Firm, Sector and Aggregate Components / Mohades Forooshani, Seyed Siavash; Piccillo, Giulia; Treibich, Tania. - 10974:(2024).

Unpacking Economic Uncertainty: Measuring the Firm, Sector and Aggregate Components

Siavash Mohades
Methodology
;
2024

Abstract

We introduce a novel method for measuring economic uncertainty at the firm, sector, and aggregate levels using sales volatility and validate it by comparison with existing macroeconomic uncertainty measures. We use Compustat firms data in the period 2000-2022 to construct our uncertainty measures for the U.S. economy. Our findings highlight that 1) macroeconomic conditions are the predominant source of firms’ uncertainty, 2) diverse firm traits yield notable heterogeneity, and 3) the manufacturing sector exhibits the highest uncertainty among sectors. Our findings shed light on the importance of firm and sectoral heterogeneity in studying uncertainty and its effects on economic activity
2024
measuring uncertainty, firm heterogeneity, balance sheet data, business fluctuations
Unpacking Economic Uncertainty: Measuring the Firm, Sector and Aggregate Components / Mohades Forooshani, Seyed Siavash; Piccillo, Giulia; Treibich, Tania. - 10974:(2024).
File in questo prodotto:
File Dimensione Formato  
cesifo1_wp10974 (3).pdf

Open Access

Tipologia: Documento in Pre-print
Licenza: Tutti i diritti riservati
Dimensione 6.46 MB
Formato Adobe PDF
6.46 MB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/237298
Citazioni
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
  • OpenAlex ND
social impact