How Do Output Growth Rate Distributions Look Like? Some Time-Series Evidence on OECD Countries
| dc.creator | Fagiolo, Giorgio | |
| dc.creator | Napoletano, Mauro | |
| dc.creator | Roventini, Andrea | |
| dc.date | 2006-07-20 | |
| dc.date.accessioned | 2026-07-07T12:07:47Z | |
| dc.date.available | 2026-07-07T12:07:47Z | |
| dc.description | 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. | |
| dc.identifier | https://arxiv.org/abs/physics/0607180 | |
| dc.identifier | http://arxiv.org/abs/physics/0607180 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/209093 | |
| dc.subject | Physics and Society | |
| dc.subject | General Finance | |
| dc.title | How Do Output Growth Rate Distributions Look Like? Some Time-Series Evidence on OECD Countries | |
| dc.type | text |