The time-varying effects of skewness on the macroeconomy

Yang Han, Wenting Liao and Rui Xiong

Economics Letters, 2025, vol. 254, issue C

Abstract: This paper examines the time-varying effects of skewness on the U.S. macroeconomy. We estimate a structural vector autoregression model with time-varying parameters, stochastic volatility, and external instrumental variable identification (TVP-SVAR-SV-IV). Our results indicate that, after controlling for various types of uncertainty, a negative revision in expected skewness decreases output and the interest rate while increasing unemployment and inflation. These effects vary significantly over time and are particularly stronger during recessions.

Keywords: Skewness; Business cycle; TVP-SVAR-SV-IV (search for similar items in EconPapers)
JEL-codes: C32 C36 E32 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:254:y:2025:i:c:s0165176525002721

DOI: 10.1016/j.econlet.2025.112435

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