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

 

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Type:   Working paper
 
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-...) (Auteur)
Roventini, Andrea - Observatoire français des conjonctures économiques (Auteur)
 
Date de publication:   2006-10
 
Éditeur:   Verona  :  Università degli Studi di Verona
 
Collection:   Università di Verona, Dipartimento di Scienze economiche Working papers series  :  36
 
Mots-clés:   [] Output Growth-Rate Distributions, normality, fat tails, time series, Exponential-Power Distributions, Laplace Distributions, Output Dynamics
 
JEL:   C1,  E3
 
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. 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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