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Are output growth-rate distributions fat-tailed? some evidence from OECD countries

 

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Type:   Article
 
Titre:   Are output growth-rate distributions fat-tailed? some evidence from OECD countries
 
Auteur(s):   Fagiolo, Giorgio - Laboratory of Economics and Management (LEM) (Auteur)
Napoletano, Mauro (1977-...) - Observatoire français des conjonctures économiques (Auteur)
Roventini, Andrea - Laboratory of Economics and Management (Auteur)
 
In:   Journal of Applied Econometrics
 
Date de publication:   2008-08
 
Éditeur:   ÉTATS-UNIS  :  John Wiley & Sons
 
Volume:   23
 
Numéro:   5
 
Pages:   639-669  p.
 
ISSN:   08837252
 
Résumé:   [en] 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 (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.
 
 

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