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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 (but with finite moments of any order). 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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Submitted on : Friday, November 5, 2021 - 2:47:49 PM
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  • HAL Id : hal-03417062, version 1
  • SCIENCESPO : 2441/9847



Giorgio Fagiolo, Mauro Napoletano, Andrea Roventini. Are output growth-rate distributions fat-tailed? some evidence from OECD countries. Journal of Applied Econometrics, Wiley, 2008, 23 (5), pp.639 - 669. ⟨hal-03417062⟩



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