Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/95259 
Year of Publication: 
2012
Series/Report no.: 
Quaderni di Dipartimento No. 157
Publisher: 
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ), Pavia
Abstract: 
Recent empirical findings suggest that macroeconomic variables are seldom normally dis- tributed. For example, the distributions of aggregate output growth-rate time series of many OECD countries are well approximated by symmetric exponential-power (EP) den- sities, with Laplace fat tails. In this work, we assess whether Real Business Cycle (RBC) and standard medium-scale New-Keynesian (NK) models are able to replicate this sta- tistical regularity. We simulate both models drawing Gaussian- vs Laplace-distributed shocks and we explore the statistical properties of simulated time series. Our results cast doubts on whether RBC and NK models are able to provide a satisfactory representation of the transmission mechanisms linking exogenous shocks to macroeconomic dynamics.
Subjects: 
Growth-Rate Distributions
Normality
Fat Tails
Time Series
Exponential- Power Distributions
Laplace Distributions
DSGE Models
RBC Models
JEL: 
C1
E3
Document Type: 
Working Paper

Files in This Item:
File
Size
243.49 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.