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Journal Articles Journal of Applied Econometrics Year : 2008

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

Giorgio Fagiolo
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Andrea Roventini
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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.

Dates and versions

hal-03417062 , version 1 (05-11-2021)

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Giorgio Fagiolo, Mauro Napoletano, Andrea Roventini. Are output growth-rate distributions fat-tailed? some evidence from OECD countries. Journal of Applied Econometrics, 2008, 23 (5), pp.639 - 669. ⟨10.1002/jae.1003⟩. ⟨hal-03417062⟩

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