A0160
Title: Unpacking economic uncertainty: Measuring the firm, sector and aggregate components
Authors: Giulia Piccillo - Maastricht University (Netherlands) [presenting]
Siavash Mohades - LUISS (Netherlands)
Tania Treibich - Maastricht University (Netherlands)
Abstract: A novel method for measuring economic uncertainty at the firm, sector, and aggregate levels is introduced, using sales volatility, and it is validated by comparison with existing macroeconomic uncertainty measures. Compustat firms' data is used in the period 2000-2022 to construct the uncertainty measures for the U.S. economy. 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. Findings shed light on the importance of firm and sectoral heterogeneity in studying uncertainty and its effects on economic activity.
