Real-Time Forward-Looking Skewness over the Business Cycle / Ian Dew-Becker.

Format:

Book

Author/Creator:

Dew-Becker, Ian.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w30478.

NBER working paper series no. w30478

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2022.

Summary:

This paper measures option-implied skewness for individual firms and the overall stock market between 1980 and 2021, giving real-time measures of conditional micro and macro skewness. There are three key results: 1. Micro skewness is significantly procyclical, while macro skewness is acyclical; 2. Micro skewness leads the business cycle and is strongly linked to credit spreads, suggesting one potential causal channel; 3. Micro skewness is significantly, and not mechanically, correlated with macro volatility, implying that there is a common shock driving them both, which is also linked to the business cycle.

Notes:

Print version record

September 2022.