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Are outputgrowth‐ratedistributionsfat‐tailed? someevidence from OECDcountries Giorgio FagioloMauro NapoletanoAndrea Roventini2008 год

Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries
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Аннотация: 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. Copyright © 2008 John Wiley & Sons, Ltd.
Год издания: 2008
Авторы: Giorgio Fagiolo, Mauro Napoletano, Andrea Roventini
Издательство: Wiley
Источник: Journal of Applied Econometrics
Ключевые слова: Monetary Policy and Economic Impact, Economic theories and models, Complex Systems and Time Series Analysis
Другие ссылки: Journal of Applied Econometrics (PDF)
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