全球智库信息集成服务系统(G2TT): DP16804 Skewness and Time-Varying Second Moments in a Nonlinear Production Network: Theory and Evidence

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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.