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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
Date of revision:
Handle: RePEc:fem:femwpa:2013.54
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  1. Julia K. Thomas, 2002. "Is Lumpy Investment Relevant for the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 110(3), pages 508-534, June.
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  4. 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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  9. Sean HOLLY & Ivan PETRELLA & Emiliano SANTORO, 2011. "Aggregate fluctuations and the cross-sectional dynamics of firm growth," Center for Economic Studies - Discussion papers ces11.06, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
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  12. Emmanuel De Veirman & Andrew Levin, 2014. "Cyclical changes in firm volatility," DNB Working Papers 408, Netherlands Central Bank, Research Department.
  13. 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.
  14. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, October.
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  16. Don Harding & Adrian Pagan, 1999. "Knowing the Cycle," Melbourne Institute Working Paper Series wp1999n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
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