Asymmetry Reversals and the Business Cycle
Data
28.05.2013
28.05.2013
Autori
Roberta Distante, Ivan Petrella, Emiliano Santoro
Codice JEL
C21, E32
C21, E32
Parole chiave:
Corporate Growth, Conditional Quantiles, Business Cycles, Asymmetry Reversals
Corporate Growth, Conditional Quantiles, Business Cycles, Asymmetry Reversals
Publisher
Economy and Society
Economy and Society
Editor
Giuseppe Sammarco
Giuseppe Sammarco
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.