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Asymmetry Reversals and the Business Cycle

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Author Info

  • Roberta Distante

    (Fondazione Eni Enrico Mattei)

  • Ivan Petrella

    (Department of Economics, Mathematics and Statistics, Birkbeck, University of London)

  • Emiliano Santoro

    (Department of Economics and Finance, Catholic University of Milan and Department of Economics, University of Copenhagen)

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.

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Bibliographic Info

Paper provided by Fondazione Eni Enrico Mattei in its series Working Papers with number 2013.54.

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Date of creation: May 2013
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Handle: RePEc:fem:femwpa:2013.54

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Keywords: Corporate Growth; Conditional Quantiles; Business Cycles; Asymmetry Reversals;

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  1. Sean Holly & Ivan Petrella & Emiliano Santoro, 2013. "Aggregate fluctuations and the cross-sectional dynamics of firm growth," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(2), pages 459-479, 02.
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  7. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
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  10. Julia K. Thomas, 2002. "Is lumpy investment relevant for the business cycle?," Staff Report 302, Federal Reserve Bank of Minneapolis.
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