Fagiolo, Giorgio Napoletano, Mauro Roventini, Andrea
Year of Publication:
LEM Working Paper Series 2006/23
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.
Output Growth-Rate Distributions Normality Fat Tails Time Series Exponential-Power Distributions Laplace Distributions Output Dynamics