Real-time forward-looking skewness over the business cycle
This paper measures option-implied skewness for individual firms and the S&P 500 index 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. Micr...
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| Published in | Review of economic dynamics Vol. 54; p. 101233 |
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| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
Elsevier Inc
01.10.2024
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| Online Access | Get full text |
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| Summary: | This paper measures option-implied skewness for individual firms and the S&P 500 index 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. |
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| ISSN: | 1094-2025 |
| DOI: | 10.1016/j.red.2024.101233 |