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

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  • Giorgio Fagiolo

    ()
    (Corresponding author, Dipartimento di Scienze economiche (Università di Verona))

  • 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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Bibliographic Info

Paper provided by University of Verona, Department of Economics in its series Working Papers with number 36.

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Length: 39
Date of creation: Oct 2006
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Handle: RePEc:ver:wpaper:36

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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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