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The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics

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  • Oleg Korenok
  • Bruce Mizrach

Abstract

There 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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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 266.

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Date of creation: 11 Aug 2004
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Handle: RePEc:sce:scecf4:266

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Keywords: asymmetry; industry; triples test; Markov switching; oil prices; inventories; leading indicators.;

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