Working Paper: NBER ID: w30478
Authors: Ian Dewbecker
Abstract: 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.
Keywords: skewness; business cycle; credit spreads; macro volatility; option pricing
JEL Codes: E0; E22; E27; E3; G13
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Micro skewness (C46) | Economic expansions (E32) |
| Micro skewness (C46) | Business cycle (E32) |
| Micro skewness (C46) | Macro volatility (E39) |
| Common shock (D80) | Micro skewness (C46) |
| Common shock (D80) | Macro volatility (E39) |
| Macro skewness (C46) | Economic conditions (E66) |