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

By Giorgio Fagiolo, Mauro Napoletano, Andrea Roventini. 2008

221 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bf752ba60683fe2a8dc9f135db7e6fd30abe9494

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In Economics and Econometrics

Citations in the corpus

Agent based-stock flow consistent macroeconomics: Towards a benchmark model (2016, background): “In reality banks mainly discriminate through credit rationing rather than interest rates (see Jakab and Kumh, 2014, for a survey of empirical literature) while the empirical evidence suggests that the quantity of credit is a more important driver of real activity than the price of credit (Waters, 20”
A new class of asymmetric exponential power densities with applications to economics and finance (2011, background): “, 1998; Castaldi and Dosi, 2009) and in within-country time series (Fagiolo et al., 2008).”
Schumpeter meeting Keynes: A policy-friendly model of endogenous growth and business cycles (2010, background): “Finally, the aggregate growth rates of output display fat-tailed distributions well in tune with the empirical evidence (cf. Table 4; see Castaldi and Dosi, 2009; Fagiolo et al., 2008).”
Macroeconomic Policy in DSGE and Agent-Based Models (2012, unknown): “For a more in-depth discussion of empirical validation in ABMs, we refer the reader to Fagiolo et al. (2007a) and papers therein.”
The financial accelerator in an evolving credit network (2010, background): “12 See Fagiolo et al. (2008) for an empirical investigation of the distributional properties of aggregate output growth-rate time series.”
Micro and macro policies in the Keynes+Schumpeter evolutionary models (2016, unknown): “2014) and, in line with the empirical evidence (Fagiolo et al. 2008), the GDP growthrate distribution exhibits fat tails (SF2, cf. Fig.”
Estimation of ergodic agent-based models by simulated minimum distance (2015, background): “growth rates (Fagiolo et al., 2008)– and DSGE models are not able to reproduce such regularities even when they are fed with shocks drawn from fat tail distributions (Ascari et al.”
FAT-TAIL DISTRIBUTIONS AND BUSINESS-CYCLE MODELS (2013, unknown): “Following Fagiolo et al. (2008), we suggest in the following that EP densities with Laplace tails are a very good candidate.”