Aggregate Skewness and the Business Cycle
构建了美国经济预期总偏度的数据驱动指标，发现其呈强顺周期性，主要反映实际变量偏度的周期性，并与企业就业增长横截面偏度高度相关，对经济周期波动有重要解释力。
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 lead to business cycle fluctuations nearly indistinguishable from those induced 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 suggest an important role of higher-order dynamics for business cycle theories.