Fat-Tail Distributions and Business-Cycle Models ∗

@inproceedings{Ascari2012FatTailDA,
  title={Fat-Tail Distributions and Business-Cycle Models ∗},
  author={Guido Ascari and Giorgio Fagiolo and Andrea Roventini},
  year={2012}
}
Recent empirical findings suggest that macroeconomic variables are seldom normally distributed. For example, the distributions of aggregate output growth-rate time series of many OECD countries are well approximated by symmetric exponential-power (EP) densities, with Laplace fat tails. In this work, we assess whether Real Business Cycle (RBC) and standard medium-scale New-Keynesian (NK) models are able to replicate this statistical regularity. We simulate both models drawing Gaussianvs Laplace… CONTINUE READING
Highly Cited
This paper has 17 citations. REVIEW CITATIONS

References

Publications referenced by this paper.
Showing 1-10 of 23 references

Comment on ‘On the Fit of New Keynesian Models

  • L. J. Christiano
  • Journal of Business and Economic Statistics,
  • 2007
Highly Influential
5 Excerpts

SUBBOTOOLS User’s Manual

  • G. Bottazzi
  • Working Paper
  • 2004
Highly Influential
5 Excerpts

Common Properties and Sectoral Specificities in the Dynamics of U.S. Manufacturing Firms

  • G. Bottazzi, A. Secchi
  • Review of Industrial Organization,
  • 2003
Highly Influential
4 Excerpts

Structural Estimation of Jump-Diffusion Processes in Macroeconomics

  • O. Posch
  • 2009
1 Excerpt

The patterns of output growth of firms and countries: Scale invariances and scale specificities

  • C. Castaldi
  • Dosi
  • 2009

Similar Papers

Loading similar papers…