Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries

Giorgio Fagiolo (), Mauro Napoletano and Andrea Roventini

LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy

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: 2006-09-21
New Economics Papers: this item is included in nep-cba
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.lem.sssup.it/WPLem/files/2006-23.pdf (application/pdf)

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ssa:lemwps:2006/23

Access Statistics for this paper

More papers in LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Contact information at EDIRC.
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).