Asymmetry Reversals and the Business Cycle

Roberta Distante, Ivan Petrella and Emiliano Santoro

No 2013.54, Working Papers from Fondazione Eni Enrico Mattei

Abstract: The cross-sectional dynamics of the U.S. business cycle is examined through the lens of quantile regression models. Conditioning the quantiles of firm-level growth to different measures of technological change highlights a deep connection between counter-cyclical skewness and the transmission of aggregate disturbances. Asymmetry reversals emerge as the dominant source of cyclical variation in the probability density, generating a powerful amplification of aggregate shocks to firm technology. Designing and validating heterogeneous firm business cycle models should necessarily account for this empirical finding.

Keywords: Corporate Growth; Conditional Quantiles; Business Cycles; Asymmetry Reversals (search for similar items in EconPapers)
JEL-codes: C21 E32 (search for similar items in EconPapers)
Date: 2013-05
New Economics Papers: this item is included in nep-bec and nep-mac
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Citations: View citations in EconPapers (3)

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Working Paper: Asymmetry Reversals and the Business Cycle (2013)
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