Aggregate skewness and the business cycle

Iseringhausen, Martin, Petrella, Ivan and Theodoridis, Konstantinos ORCID: https://orcid.org/0000-0002-4039-3895 2023. Aggregate skewness and the business cycle. The Review of Economics and Statistics 10.1162/rest_a_01390

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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 suggest an important role of higher-order dynamics for business cycle theories.

Item Type:	Article
Date Type:	Published Online
Status:	In Press
Schools:	Advanced Research Computing @ Cardiff (ARCCA) Business (Including Economics)
Publisher:	Massachusetts Institute of Technology Press
ISSN:	0034-6535
Date of First Compliant Deposit:	7 September 2023
Date of Acceptance:	6 September 2023
Last Modified:	10 Nov 2024 00:30
URI:	https://orca.cardiff.ac.uk/id/eprint/162273

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