| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29499 |
| 来源ID | Working Paper 29499 |
| 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 | 2021-11-22 |
| 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 | Macroeconomics ; Macroeconomic Models ; Consumption and Investment ; Business Cycles ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w29499 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587173 |
| 推荐引用方式 GB/T 7714 | Ian Dew-Becker,Alireza Tahbaz-Salehi,Andrea Vedolin. Skewness and Time-Varying Second Moments in a Nonlinear Production Network: Theory and Evidence. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29499.pdf（671KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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