How do output growth-rate distributions look like? some cross-country, time-series evidence

DOI10.1140/EPJB/E2007-00153-0MaRDI QIDQ978824zbMATH OpenOpenAlexFDO

Authors Giorgio Fagiolo, Mauro Napoletano, Andrea Roventini

Publication date 25 June 2010

Published in The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/physics/0607180

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84)

Abstract: 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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Cites work

• Empirics for growth and distribution: Stratification, polarization, and convergence clubs
• Scaling the volatility of GDP growth rates
• Why are distributions of firm growth rates tent-shaped?

Cited in

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• Scaling the volatility of GDP growth rates
• Global evidence on the distribution of firm growth rates
• Do firms share the same functional form of their growth rate distribution? A statistical test
• Hindered growth
• How Fat‐Tailed is <scp>US</scp> Output Growth?
• CAN TRANSITION DYNAMICS EXPLAIN THE INTERNATIONAL OUTPUT DATA?
• Fitting probability distributions to economic growth: a maximum likelihood approach

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