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Fat-tail distributions and business-cycle models

Personen und Körperschaften: Ascari, Guido (Verfasser*in), Fagiolo, Giorgio (Verfasser*in), Roventini, Andrea (Verfasser*in)
Titel: Fat-tail distributions and business-cycle models/ Guido Ascari; Giorgio Fagiolo; Andrea Roventini
Sprache: English
veröffentlicht:
Pisa Laboratory of Economics and Management, Sant'Anna School of Advanced Studies 2012
Gesamtaufnahme: Scuola superiore Sant'Anna di studi universitari e di perfezionamento: LEM working paper series ; 2012,02
Beschreibung: Online-Ressource (PDF-Datei: 14 S., 317 KB); graph. Darst
Details
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 Gaussian- vs Laplace-distributed shocks and we explore the statistical properties of simulated time series. Our results cast doubts on whether RBC and NK models are able to provide a satisfactory representation of the transmission mechanisms linking exogenous shocks to macroeconomic dynamics. -- Growth-Rate Distributions ; Normality ; Fat Tails ; Time Series ; Exponential-Power Distributions ; Laplace Distributions ; DSGE Models ; RBC Models