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

Giorgio Fagiolo (), Mauro Napoletano and Andrea Roventini

Working Papers from HAL

Abstract: 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.

Keywords: Output Growth-Rate Distributions; normality; fat tails; time series; Exponential-Power Distributions; Laplace Distributions; Output Dynamics (search for similar items in EconPapers)
Date: 2006-10
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-01065643
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Related works:
Journal Article: Are output growth-rate distributions fat-tailed? some evidence from OECD countries (2008)
Working Paper: Are output growth-rate distributions fat-tailed? some evidence from OECD countries (2008)
Working Paper: Are output growth-rate distributions fat-tailed? some evidence from OECD countries (2008)
Working Paper: Are output growth-rate distributions fat-tailed? Some evidence from OECD countries (2006)
Working Paper: Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries (2006)
Working Paper: Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries (2006)
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