Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/261223 
Year of Publication: 
2021
Series/Report no.: 
Cardiff Economics Working Papers No. E2021/30
Publisher: 
Cardiff University, Cardiff Business School, Cardiff
Abstract: 
We develop a data-rich measure of expected macroeconomic skewness in the US economy. Expected macroeconomic skewness is strongly procyclical, mainly reflects the cyclicality in the skewness of real variables, is highly correlated with the cross-sectional skewness of firm-level employment growth, and is distinct from financial market skewness. Revisions in expected skewness deliver dynamics that are nearly indistinguishable from those produced by the main business cycle shock of Angeletos et al. (2020). This result is robust to controlling for macroeconomic volatility and uncertainty, and alternative macroeconomic shocks. Our findings highlight the importance of higher-order dynamics for business cycle theories.
Subjects: 
Asymmetry
principal component analysis
quantile regression
VAR
JEL: 
C22
C38
E32
Document Type: 
Working Paper

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