Arbeitspapier

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

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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.

Language
Englisch

Bibliographic citation
Series: LEM Working Paper Series ; No. 2006/23

Classification
Wirtschaft
Subject
Output Growth-Rate Distributions
Normality
Fat Tails
Time Series
Exponential-Power Distributions
Laplace Distributions
Output Dynamics
Wirtschaftswachstum
Zeitreihenanalyse
OECD-Staaten
Statistische Verteilung

Event
Geistige Schöpfung
(who)
Fagiolo, Giorgio
Napoletano, Mauro
Roventini, Andrea
Event
Veröffentlichung
(who)
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
(where)
Pisa
(when)
2006

Handle
Last update
02.04.2025, 5:44 PM CEST

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Object type

  • Arbeitspapier

Associated

  • Fagiolo, Giorgio
  • Napoletano, Mauro
  • Roventini, Andrea
  • Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)

Time of origin

  • 2006

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