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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP16804 |
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 |
URL | https://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. |
条目包含的文件 | 条目无相关文件。 |
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