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Asymmetry Reversals and the Business Cycle

  • 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)

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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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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  1. Emmanuel De Veirman & Andrew Levin, 2011. "Cyclical changes in firm volatility," Reserve Bank of New Zealand Discussion Paper Series DP2011/06, Reserve Bank of New Zealand.
  2. 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.
  3. Roberta Distante & Ivan Petrella & Emiliano Santoro, 2014. "Size, Age and the Growth of Firms: New Evidence from Quantile Regressions," Working Papers 2014.69, Fondazione Eni Enrico Mattei.
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