Asymmetry Reversals and the Business Cycle

29 Pages Posted: 21 Jun 2013

See all articles by Roberta Distante

Roberta Distante

Fondazione Eni Enrico Mattei (FEEM)

Ivan Petrella

University of Warwick; Centre for Economic Policy Research (CEPR)

Emiliano Santoro

University of Copenhagen - Department of Economics

Date Written: June 19, 2013

Abstract

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.

Keywords: Corporate Growth, Conditional Quantiles, Business Cycles, Asymmetry Reversals

JEL Classification: C21, E32

Suggested Citation

Distante, Roberta and Petrella, Ivan and Santoro, Emiliano, Asymmetry Reversals and the Business Cycle (June 19, 2013). FEEM Working Paper No. 54.2013. Available at SSRN: https://ssrn.com/abstract=2281826 or http://dx.doi.org/10.2139/ssrn.2281826

Roberta Distante (Contact Author)

Fondazione Eni Enrico Mattei (FEEM) ( email )

C.so Magenta 63
Milano, 20123
Italy

Ivan Petrella

University of Warwick ( email )

Gibbet Hill Rd.
Coventry, West Midlands CV4 8UW
United Kingdom

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Emiliano Santoro

University of Copenhagen - Department of Economics ( email )

Ă˜ster Farimagsgade 5
Bygning 26
1353 Copenhagen K.
Denmark

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