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Asymmetry Reversals and the Business Cycle

Author

Listed:
  • Roberta Distante

    (Fondazione Eni Enrico Mattei)

  • Ivan Petrella

    (Department of Economics, Mathematics and Statistics, Birkbeck, University of London)

  • Emiliano Santoro

    (Department of Economics and Finance, Catholic University of Milan and Department of Economics, University of Copenhagen)

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.

Suggested Citation

  • Roberta Distante & Ivan Petrella & Emiliano Santoro, 2013. "Asymmetry Reversals and the Business Cycle," Working Papers 2013.54, Fondazione Eni Enrico Mattei.
    • Handle: RePEc:fem:femwpa:2013.54
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    References listed on IDEAS

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    Cited by:

    1. Roberta Distante & Ivan Petrella & Emiliano Santoro, 2014. "Size, Age and the Growth of Firms: New Evidence from Quantile Regressions," Working Papers 2014.69, Fondazione Eni Enrico Mattei.
    2. Nicholas Bloom & Fatih Guvenen & Sergio Salgado, 2016. "Skewed Business Cycles," 2016 Meeting Papers 1621, Society for Economic Dynamics.
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    More about this item

    Keywords

    Corporate Growth; Conditional Quantiles; Business Cycles; Asymmetry Reversals;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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