Research Topics
Agent-based Computational Economics
Statistical Properties of Micro and Macro-Dynamics
Research Topics
Agent-based Computational Economics
Statistical Properties of Micro and Macro-Dynamics
Giorgio Fagiolo
Giorgio Fagiolo
Statistical Properties of Micro and Macro-Dynamics
The philosophy underlying this broad research topics is rooted in the idea that economics must be primarily an empirical science. Broadly speaking, one can devise two alternative approaches to empirical economics. The first one (the most influential nowadays) suggests to always start from theory and then check if the empirical implications of the model are confirmed by the data. The problem with this approach is that by theory we mainly mean neoclassical theory, whose main assumptions and building block (rationality, equilibrium, etc.) are hardly confirmed by empirical and experimental findings. The second approach, pioneered by Kaldor and nowadays revived in the econophysics literature, suggests instead to always start from the data and extract in the most agnostic way stylized facts which should then be replicated and explained by theoretical models. Here by stylized facts we broadly mean any statistical regularity that is sufficiently robust across time, geographical space, etc..
Within this framework, my research activity has focused on two specific topics:
•Statistical properties of the distributions of country-output growth rates. In this project we explore 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 (but with finite moments of any order). 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.
•Statistical properties of household consumption patterns. This project aims at studying consumption patterns by empirically investigating distributions of household consumption expenditure. We employ data from the Survey of Italian Households' Income and Wealth provided by the Bank of Italy and we try to characterize the shape of consumption, income and budget shares distributions and their time evolution.
Selected Publications
•Barigozzi, M., Alessi, L., Capasso, M. and Fagiolo, G. (2012), "The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households", Structural Change and Economic Dynamics, 23: 69–91.
•Fagiolo, G., Alessi, L., Barigozzi, M. and Capasso, M. (2010), "On the distributional properties of household consumption expenditures. The case of Italy", Empirical Economics, 38:717-741.
•Fagiolo, G., Napoletano, M., Roventini, A. and Piazza, M. (2009), "Detrending and the Distributional Properties of U.S. Output Time Series", Economics Bulletin, 29, 4.
•Capasso, M., Alessi, L., Barigozzi, M. and Fagiolo, G. (2009), "On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters", Advances in Complex Systems, 12: 157–167.
•Fagiolo, G., Napoletano, M. and Roventini, A. (2008), "Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries", Journal of Applied Econometrics, 23: 639-669.
•Fagiolo, G., Napoletano, M. and Roventini, A. (2007), "How Do Output Growth Rate Distributions Look Like? Some Time-Series Evidence on OECD Countries", European Physical Journal B, 57: 205-211.