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

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  • G. Fagiolo

    ()

  • M. Napoletano

    ()

  • A. Roventini

    ()

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

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File URL: http://hdl.handle.net/10.1140/epjb/e2007-00153-0
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Bibliographic Info

Article provided by Springer in its journal The European Physical Journal B.

Volume (Year): 57 (2007)
Issue (Month): 2 (05)
Pages: 205-211

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Handle: RePEc:spr:eurphb:v:57:y:2007:i:2:p:205-211

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Web page: http://www.springer.com/economics/journal/10051

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Related research

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;

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  1. Corrado Di Guilmi & Mauro Gallegati & Edoardo Gaffeo, 2003. "Power Law Scaling in the World Income Distribution," Economics Bulletin, AccessEcon, vol. 15(6), pages 1-7.
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