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 - (Auteur)
ROVENTINI Andrea - Observatoire français des conjonctures économiques (Auteur)
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
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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