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

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  • Giorgio Fagiolo
  • Mauro Napoletano
  • Andrea Roventini

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 Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy in its series LEM Papers Series with number 2006/23.

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Date of creation: 21 Sep 2006
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Handle: RePEc:ssa:lemwps:2006/23

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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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