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Aggregate skewness and the business cycle
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Iseringhausen, Martin, Petrella, Ivan and Theodoridis, Konstantinos (2023) Aggregate skewness and the business cycle. Review of Economics and Statistics . ISSN 0034-6535. (In Press)
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WRAP-aggregate-skewness-business cycle-Petrella-2023.pdf - Accepted Version - Requires a PDF viewer. Download (2854Kb) | Preview |
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 | ||||||
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| Subjects: | H Social Sciences > HB Economic Theory | ||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| 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: | 2023 | ||||||
| Dates: |
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| Status: | Peer Reviewed | ||||||
| Publication Status: | In Press | ||||||
| Reuse Statement (publisher, data, author rights): | 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 | ||||||
| Date of first compliant deposit: | 12 September 2023 | ||||||
| Date of first compliant Open Access: | 13 September 2023 | ||||||
| Related URLs: |
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