| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17162 |
| DP17162 Aggregate Skewness and the Business Cycle | |
| Martin Iseringhausen; Ivan Petrella; Konstantinos Theodoridis | |
| 发表日期 | 2022-03-30 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We develop a data-rich measure of expected macroeconomic skewness in the US economy. Expected macroeconomic skewness is strongly procyclical, mainly reflects the cyclicality in the skewness of real variables, is highly correlated with the cross-sectional skewness of firm-level employment growth, and is distinct from financial market skewness. Revisions in expected skewness deliver dynamics that are nearly indistinguishable from those produced by the main business cycle shock of Angeletos et al. (2020). This result is robust to controlling for macroeconomic volatility and uncertainty, and alternative macroeconomic shocks. Our findings highlight the importance of higher-order dynamics for business cycle theories. |
| 主题 | Business Cycles |
| 关键词 | Asymmetry Principal component analysis Quantile regression Var |
| URL | https://cepr.org/publications/dp17162 |
| 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/546152 |
| 推荐引用方式 GB/T 7714 | Martin Iseringhausen,Ivan Petrella,Konstantinos Theodoridis. DP17162 Aggregate Skewness and the Business Cycle. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
