Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89284
Authors: 
Ascari, Guido
Fagiolo, Giorgio
Roventini, Andrea
Year of Publication: 
2012
Series/Report no.: 
LEM Working Paper Series 2012/02
Abstract: 
Recent empirical findings suggest that macroeconomic variables are seldom normally distributed. For example, the distributions of aggregate output growth-rate time series of many OECD countries are well approximated by symmetric exponential-power (EP) densities, 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 statistical 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

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