Skewed Business Cycles

Sergio Salgado Ibáñez, Fatih Guvenen and Nicholas Bloom

No 26565, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Using firm-level panel data from the US Census Bureau and almost fifty other countries, we show that the skewness of the growth rates of employment, sales, and productivity is procyclical. In particular, during recessions, they display a large left tail of negative growth rates (and during booms, a large right tail of positive growth rates). We find similar results at the industry level: industries with falling growth rates see more left-skewed growth rates of firm sales, employment, and productivity. We then build a heterogeneous-agent model in which entrepreneurs face shocks with time-varying skewness that matches the firm-level distributions we document for the United States. Our quantitative results show that a negative shock to the skewness of firms’ productivity growth (keeping the mean and variance constant) generates a persistent drop in output, investment, hiring, and consumption. This suggests the rising risk of large negative firm-level shocks could be an important factor driving recessions.

JEL-codes: E3 (search for similar items in EconPapers)
Date: 2019-12
New Economics Papers: this item is included in nep-bec, nep-dge, nep-ent, nep-mac and nep-ore
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Downloads: (external link)
http://www.nber.org/papers/w26565.pdf (application/pdf)

Related works:
Working Paper: Skewed Business Cycles (2019)
Working Paper: Skewed Business Cycles (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:26565

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w26565

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().