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

Listed author(s):
  • Giorgio Fagiolo

    (Sant'Anna School of Advanced Studies, Pisa, Italy)

  • Mauro Napoletano
  • Andrea Roventini

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 (but with finite moments of any order). 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. Copyright © 2008 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.1003
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File URL: http://qed.econ.queensu.ca:80/jae/2008-v23.5/
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 23 (2008)
Issue (Month): 5 ()
Pages: 639-669

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Handle: RePEc:jae:japmet:v:23:y:2008:i:5:p:639-669
DOI: 10.1002/jae.1003
Contact details of provider: Web page: http://www.interscience.wiley.com/jpages/0883-7252/

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