Search Results - subject:"Skewness"

Identification using higher-order moments restrictions

Andrade, Philippe; Ferroni, Filippo; Melosi, Leonardo - 2023 - First draft (June 2022)

We exploit inequality restrictions on higher-order moments of the distribution of structural shocks to sharpen their identification. We show that these constraints can be treated as necessary conditions and used to shrink the set of admissible rotations. We illustrate the usefulness of this...

Persistent link: https://www.econbiz.de/10014335939

Consumption partial insurance in the presence of tail income risk

Ghosh, Anisha; Theloudis, Alexandros - 2023

Persistent link: https://www.econbiz.de/10014339954

The effects of disaggregate oil shocks on the aggregate expected skewness of the United States

Sheng, Xin; Gupta, Rangan; Ji, Qiang - In: Risks : open access journal 11 (2023) 11, pp. 1-9

demand shocks on the expected aggregate skewness of the United States (US) economy, obtained based on a data-rich environment … supply and global economic activity shocks increase the expected macroeconomic skewness in a statistically significant way …, with the effects being relatively more pronounced in the lower regime of the aggregate skewness factor, i.e., when the US …

Persistent link: https://www.econbiz.de/10014435601