2006/23 LEM Working Paper Series

Are Output Growth-Rate Distributions Fat-Tailed?
Some Evidence from OECD Countries

Giorgio Fagiolo, Mauro Napoletano, Andrea Roventini
Output Growth-Rate Distributions, Normality, Fat Tails, Time Series, Exponential-Power Distributions, Laplace Distributions, Output Dynamics.

  JEL Classifications
C1, E3

This work explores some distributional properties of aggregate output growth-rate time series. We show that, in the majority of OECD countries, output growth-rate distributions are well-approximated by symmetric exponential-power densities with tails much fatter than those of a Gaussian. Fat tails robustly emerge in output growth rates independently of: (i) the way we measure aggregate output; (ii) the family of densities employed in the estimation; (iii) the length of time lags used to compute growth rates. We also show that fat tails still characterize output growth-rate distributions even after one washes away outliers, autocorrelation and heteroscedasticity.

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