%0 Unpublished work
%T Are output growth-rate distributions fat-tailed? Some evidence from OECD countries
%+ Laboratory of Economics and Management (LEM)
%+ Observatoire franÃ§ais des conjonctures Ã©conomiques (Sciences Po) (OFCE)
%+ Department of Economics
%A Fagiolo, Giorgio
%A Napoletano, Mauro
%A Roventini, Andrea
%8 2006-10
%D 2006
%K Output Growth-Rate Distributions
%K normality
%K fat tails
%K time series
%K Exponential-Power Distributions
%K Laplace Distributions
%K Output Dynamics
%Z Humanities and Social Sciences/Economics and FinancePreprints, Working Papers, ...
%X 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.
%G English
%2 https://sciencespo.hal.science/hal-01065643/document
%2 https://sciencespo.hal.science/hal-01065643/file/wp36.pdf
%L hal-01065643
%U https://sciencespo.hal.science/hal-01065643
%~ SHS
%~ SCIENCESPO
%~ AO-ECONOMIE
%~ OFCE
%~ SCPO_OA
%~ SCPO-REPEC