Aggregate Skewness and the Business Cycle

Martin Iseringhausen, Ivan Petrella and Konstantinos Theodoridis

No E2021/30, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: 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, and the associated macroeconomic response to those, are nearly indistinguishable from 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 higherorder dynamics for business cycle theories.

Keywords: Asymmetry; principal component analysis; quantile regression; VAR (search for similar items in EconPapers)
JEL-codes: C22 C38 E32 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2021-12
New Economics Papers: this item is included in nep-bec, nep-cwa and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Aggregate Skewness and the Business Cycle (2022)
Working Paper: Aggregate skewness and the business cycle (2022)
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