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

Abstract : 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.
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Pré-publication, Document de travail
2006
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  • HAL Id : hal-01065643, version 1
  • SCIENCESPO : 2441/9848

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Giorgio Fagiolo, Mauro Napoletano, Andrea Roventini. Are output growth-rate distributions fat-tailed? Some evidence from OECD countries. 2006. 〈hal-01065643〉

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