FEEM working papers "Note di lavoro" series
2013 .054

Asymmetry Reversals and the Business Cycle


Authors: Roberta Distante, Ivan Petrella, Emiliano Santoro
Series: Economy and Society
Editor: Giuseppe Sammarco
Keywords: Corporate Growth, Conditional Quantiles, Business Cycles, Asymmetry Reversals
JEL n.: C21, E32

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.

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