ABCDEFGHIJKLMNOPQRSTUVWXYZ
1
This file contains the Skewness Factor constructed in Iseringhausen, Petrella and Theodoridis (2023)
2
Reference: Iseringhausen, M., Petrella, I. and Theodoridis, K. (2023), "Aggregate Skewness and the Business Cycle", Review of Economics and Statistics (forthcoming).
3
4
Remarks
5
6
- The worksheet "Data_quarterly" contains the quarterly time series of the expected skewness factor (based on latest FRED-QD vintage).
7
- The worksheet "Data_monthly" contains the monthly time series of the expected skewness factor (based on latest FRED-MD vintage).
8
- The worksheet "Data_paper_IPT_quarterly" contains the quarterly time series of the expected skewness factor used in the original paper (based on the Dec. 2022 vintage of the FRED-QD dataset).
9
- The worksheet "Data_paper_IPT_monthly" contains the monthly time series of the expected skewness factor used in the original paper (based on the Dec. 2022 vintage of the FRED-MD dataset).
10
- The scale of the updated skewness factors (quarterly and monthly) is adjusted to match the one of the quarterly factor used in the paper.
11
12
Data
13
14
Data reference: McCracken, M. W. and Ng, S. (2016). "FRED-MD: A Monthly Database for Macroeconomic Research". Journal of Business & Economic Statistics, 34(4):574-589.
15
McCracken, M. W. and Ng, S. (2020). "FRED-QD: A Quarterly Database for Macroeconomic Research". Working Paper Series, No. 2020-005B, Federal Reserve Bank of St. Louis.
16
Data source:
https://research.stlouisfed.org/econ/mccracken/fred-databases/
17
Vintage:
"2024-02.csv"
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100