The relationship between aggregate uncertainty and firm-level uncertainty
研究总不确定性是否以及如何影响企业层面不确定性，发现两者正相关但程度因企业特征和商业周期而异，对使用总不确定性作为代理变量的研究提供支持。
Abstract Many firm-level studies use aggregate uncertainty to proxy for firm-level uncertainty. Providing support for this strategy, we analyse the extent to which firm-level uncertainty is affected by aggregate uncertainty. Firm-level uncertainty is constructed from a large and monthly panel dataset of manufacturing firms. We find that aggregate uncertainty is associated positively and robustly with firm-level uncertainty. This correlation holds across different types of domestic and international measures of aggregate uncertainty. However, the extent of the correlations is heterogeneous and depends on certain firm characteristics and the state of the business cycle. For example, the widely used economic policy uncertainty index matters to all firms’ uncertainty only in recessionary periods, while it is relevant over the entire business cycle only to large firms’ uncertainty.