The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics
AbstractThere is now considerable evidence that business cycle variation in output and employment in the U.S. differs in expansions and contractions. We present nonparametric evidence that asymmetries are strongest in durable goods manufacturing. In a Markov switching framework, we find two leading indicators, consumer expectations and the term spread, act as important driving forces behind asymmetry. Cross sectional analysis, using firm level data, shows that plant and equipment expenditures, raw materials inventory holdings, and bankruptcy score increase the likelihood ratio index for asymmetry by more than 65%.
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Bibliographic InfoPaper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 200405.
Length: 20 pages
Date of creation: 28 Feb 2004
Date of revision:
Publication status: Published in Macroeconomic Dynamics 13, 2009, 263-77.
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asymmetry; Markov switching; leading indicators; industry; NA;
Other versions of this item:
- Oleg Korenok & Bruce Mizrach, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Computing in Economics and Finance 2004 266, Society for Computational Economics.
- E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-02 (All new papers)
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