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The time-varying effects of skewness on the macroeconomy

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  • Han, Yang
  • Liao, Wenting
  • Xiong, Rui

Abstract

This paper examines the time-varying effects of skewness on the U.S. macroeconomy. We estimate a structural vector autoregression model with time-varying parameters, stochastic volatility, and external instrumental variable identification (TVP-SVAR-SV-IV). Our results indicate that, after controlling for various types of uncertainty, a negative revision in expected skewness decreases output and the interest rate while increasing unemployment and inflation. These effects vary significantly over time and are particularly stronger during recessions.

Suggested Citation

  • Han, Yang & Liao, Wenting & Xiong, Rui, 2025. "The time-varying effects of skewness on the macroeconomy," Economics Letters, Elsevier, vol. 254(C).
    • Handle: RePEc:eee:ecolet:v:254:y:2025:i:c:s0165176525002721
    DOI: 10.1016/j.econlet.2025.112435
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    References listed on IDEAS

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    1. Jiawen Luo & Jingyi Deng & Rangan Gupta & Oguzhan Cepni, 2026. "Time-Varying Effects of Skewness: An International Comparison," Working Papers 202602, University of Pretoria, Department of Economics.

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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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