Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296063 
Year of Publication: 
2024
Series/Report no.: 
CESifo Working Paper No. 10974
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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.
Subjects: 
measuring uncertainty
firm heterogeneity
balance sheet data
business fluctuations
JEL: 
D80
D22
E32
L11
L25
Document Type: 
Working Paper
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