G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16804
DP16804 Skewness and Time-Varying Second Moments in a Nonlinear Production Network: Theory and Evidence
Ian Dew-Becker; Alireza Tahbaz-Salehi; Andrea Vedolin
发表日期2021-12-10
出版年2021
语种英语
摘要This paper studies asymmetry in economic activity over the business cycle. It develops a tractable multisector model of the economy in which complementarity across inputs causes aggregate activity to be left skewed with countercyclical volatility. We then examine implications of the model regarding the time-series skewness of activity at the sector level, cyclicality of dispersion and skewness across sectors, and the conditional covariances of sector growth rates, finding support for each in the data. The empirical skewness of employment growth, industrial production growth, and stock returns increases with the level of aggregation, which is consistent with the model's implication that it is the nonlinearity in the production structure of the economy that generates the skewness. Other prominent models of asymmetry are not able to simultaneously match the range of empirical facts that the production network model can.
主题Financial Economics ; Monetary Economics and Fluctuations
URLhttps://cepr.org/publications/dp16804
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/545734
推荐引用方式
GB/T 7714
Ian Dew-Becker,Alireza Tahbaz-Salehi,Andrea Vedolin. DP16804 Skewness and Time-Varying Second Moments in a Nonlinear Production Network: Theory and Evidence. 2021.
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