The Library
Aggregate skewness and the business cycle
Tools
Iseringhausen, Martin, Petrella, Ivan and Theodoridis, Konstantinos (2023) Aggregate skewness and the business cycle. Review of Economics and Statistics . doi:10.1162/rest_a_01390 ISSN 0034-6535. (In Press)
|
PDF
WRAP-aggregate-skewness-business cycle-Petrella-2023.pdf - Accepted Version - Requires a PDF viewer. Download (2854Kb) | Preview |
Official URL: https://doi.org/10.1162/rest_a_01390
Abstract
We develop a data-rich measure of expected macroeconomic skewness in the US econ- omy. Expected macroeconomic skewness is strongly procyclical, mainly reflects the cycli- cality in the skewness of real variables, is highly correlated with the cross-sectional skew- ness of firm-level employment growth, and is distinct from financial market skewness. Revisions in expected skewness lead to business cycle fluctuations nearly indistinguish- able from those induced by the main business cycle shock of Angeletos et al. (2020). This re- sult is robust to controlling for macroeconomic volatility and uncertainty, and alternative macroeconomic shocks. Our findings suggest an important role of higher-order dynamics for business cycle theories.
Item Type: | Journal Article | ||||||
---|---|---|---|---|---|---|---|
Subjects: | H Social Sciences > HB Economic Theory | ||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
||||||
Library of Congress Subject Headings (LCSH): | Business cycles -- United States, Equilibrium (Economics) -- Mathematical models, Statics and dynamics (Social sciences), Macroeconomics -- United States | ||||||
Journal or Publication Title: | Review of Economics and Statistics | ||||||
Publisher: | MIT Press | ||||||
ISSN: | 0034-6535 | ||||||
Official Date: | October 2023 | ||||||
Dates: |
|
||||||
DOI: | 10.1162/rest_a_01390 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | In Press | ||||||
Re-use Statement: | This is the author’s final version, and that the article has been accepted for publication in Review of Economics and Statistics | ||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||
Copyright Holders: | © 2023 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology | ||||||
Date of first compliant deposit: | 12 September 2023 | ||||||
Date of first compliant Open Access: | 13 September 2023 | ||||||
Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year