Countercyclical Profitability Spread: A New Class of Stylized Business Cycle Fact?

The conventional lists of stylized facts are composed of sentences about the comovement of ordinary macroeconomic time-series and the business cycle. It is argued that these lists are incomplete because heterogeneous agent stylized facts are missing. But there is evidence about the heterogeneity of firm-level profitability changes over the cycle both from scattered literature as well as from an empirical examination. It is concluded that the countercyclical profitability spread should make up the first item on a new list of microfoundation stylized facts which is an indispensable necessity for setting up empirically valuable heterogeneous agent models of the business cycle.