How do output growth-rate distributions look like? Some cross-country, time-series evidence

Giorgio Fagiolo (), Mauro Napoletano and Andrea Roventini

The European Physical Journal B: Condensed Matter and Complex Systems, 2007, vol. 57, issue 2, 205-211

Abstract: This paper investigates the statistical properties of within-country gross domestic product (GDP) and industrial production (IP) growth-rate distributions. Many empirical contributions have recently pointed out that cross-section growth rates of firms, industries and countries all follow Laplace distributions. In this work, we test whether also within-country, time-series GDP and IP growth rates can be approximated by tent-shaped distributions. We fit output growth rates with the exponential-power (Subbotin) family of densities, which includes as particular cases both Gaussian and Laplace distributions. We find that, for a large number of OECD (Organization for Economic Cooperation and Development) countries including the US, both GDP and IP growth rates are Laplace distributed. Moreover, we show that fat-tailed distributions robustly emerge even after controlling for outliers, autocorrelation and heteroscedasticity. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

Keywords: 89.65.Gh Economics; econophysics, financial markets, business and management, 89.90.+n Other topics in areas of applied and interdisciplinary physics, 02.60.Ed Interpolation; curve fitting, (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (7)

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DOI: 10.1140/epjb/e2007-00153-0

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