How Do Output Growth Rate Distributions Look Like? Some Time-Series Evidence on OECD Countries

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This paper investigates the statistical properties of within-country GDP and industrial production (IP) growth rate distributions. Many empirical contributions have recently pointed out that cross-section growth rates of firms, industries and countries all follow Laplace distributions. In this work, we test whether also within-country, time-series GDP and IP growth rates can be approximated by tent-shaped distributions. We fit output growth rates with the exponential-power (Subbotin) family of densities, which includes as particular cases both the Gaussian and the Laplace distributions. We find that, for a large number of OECD countries including the U.S., both GDP and IP growth rates are Laplace distributed. Moreover, we show that fat-tailed distributions robustly emerge even after controlling for outliers, autocorrelation and heteroscedasticity.

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Physics and Society, General Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/209093

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0607180
 http://arxiv.org/abs/physics/0607180

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arXiv