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

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  • Mauro Napoletano
  • Jackie Krafft

    (Groupe de Recherche en Droit, Economie et Gestion)

  • Andrea Roventini

    (Department of economics (Verona))

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.

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Paper provided by Sciences Po in its series Sciences Po publications with number 36.

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Date of creation: Oct 2006
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Handle: RePEc:spo:wpmain:info:hdl:2441/9848

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Keywords: Output Growth-Rate Distributions; normality; fat tails; time series; Exponential-Power Distributions; Laplace Distributions; Output Dynamics;

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