2006/23 | LEM Working Paper Series | |
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Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries | ||
Giorgio Fagiolo, Mauro Napoletano, Andrea Roventini |
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Keywords | ||
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Output Growth-Rate Distributions, Normality, Fat Tails, Time Series, Exponential-Power Distributions, Laplace Distributions, Output Dynamics.
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JEL Classifications | ||
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C1, E3
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Abstract | ||
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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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Downloads | ||
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