Asymmetry Reversals and the Business Cycle
29 Pages Posted: 21 Jun 2013
Date Written: June 19, 2013
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: Suggested Citation