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How Do Output Growth Rate Distributions Look Like? Some Time-Series Evidence on OECD Countries

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  • Giorgio Fagiolo
  • Mauro Napoletano
  • Andrea Roventini

Abstract

This paper investigates the statistical properties of within-country 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 the Gaussian and the Laplace distributions. We find that, for a large number of OECD countries including the U.S., 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.

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  • Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "How Do Output Growth Rate Distributions Look Like? Some Time-Series Evidence on OECD Countries," Papers physics/0607180, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0607180
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    Cited by:

    1. Schimke, Antje, 2014. "Aging workforce and firm growth in the context of "extreme" employment growth events," Working Paper Series in Economics 54, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    2. Schimke, Antje, 2014. "Ageing workforce and firm growth in the context of “extreme” employment growth events," Structural Change and Economic Dynamics, Elsevier, vol. 30(C), pages 86-100.
    3. Manas, Arnaud, 2009. "French butchers don't do quantum physics," Economics Letters, Elsevier, vol. 103(2), pages 101-106, May.
    4. Schimke, Antje, 2012. "Entrepreneurial aging and employment growth in the context of extreme growth events," Working Paper Series in Economics 39, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.

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