Dresden 2006 – wissenschaftliches Programm
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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)
AKSOE 10.29: Poster
Mittwoch, 29. März 2006, 16:00–18:00, P2
Statistical Properties of U.S. Output Growth-Rate Distributions — •Andrea Roventini1,2, Giorgio Fagiolo3, and Mauro Napoletano1 — 1Sant’Anna School of Advanced Studies, Laboratory of Economics and Management - Piazza Martiri della Libertà, 33 - 56127 PISA (Italy) — 2Department of Social, Cognitive and Quantitative Sciences, University of Modena and Reggio Emilia — 3Department of Economics, University of Verona
The paper investigates the statistical properties of U.S. output growth-rate distributions by employing both parametric and non-parametric techniques. Many empirical contributions have recently pointed out that growth rates follow a Laplace distribution at different levels of aggregation (e.g., at firm-, industry- and country-level). Following this line of research, we test whether U.S. output growth rates can be approximated by a Laplace distribution. Furthermore, we ask whether our results are robust to alternative ways of detrending output series. Indeed, it is well-known that different detrending techniques (e.g., first difference, Hodrick-Prescott and bandpass filters) affect both qualitative and quantitative stylized facts of the business cycle. Finally, we compare the results for the U.S. to different countries (e.g. U.K.). Preliminary results show that output growth-rate distributions are not Gaussian and are well proxied by fat-tailed, tent-shaped densities. Moreover, we find that different detrending techniques do affect output growth-rate distributions.