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|a Recent empirical findings suggest that macroeconomic variables are seldom normally dis- tributed. For example, the distributions of aggregate output growth-rate time series of many OECD countries are well approximated by symmetric exponential-power (EP) den- sities, 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 sta- tistical 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.
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Recent empirical findings suggest that macroeconomic variables are seldom normally dis- tributed. For example, the distributions of aggregate output growth-rate time series of many OECD countries are well approximated by symmetric exponential-power (EP) den- sities, 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 sta- tistical 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. |
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Ascari, Guido aut, Fat-Tail Distributions and Business-Cycle Models Guido Ascari; Giorgio Fagiolo; Andrea Roventini, Pavia University of Pavia, Department of Economics and Quantitative Methods 2012, Online-Ressource, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Quaderni di Dipartimento 157, Recent empirical findings suggest that macroeconomic variables are seldom normally dis- tributed. For example, the distributions of aggregate output growth-rate time series of many OECD countries are well approximated by symmetric exponential-power (EP) den- sities, 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 sta- tistical 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., Systemvoraussetzungen: Acrobat Reader., Online-Publikation DE-206, Fagiolo, Giorgio aut, Roventini, Andrea aut, Università degli Studi di Pavia Dipartimento di Economia Politica e Metodi Quantitativi Quaderni del Dipartimento 157.2012 157 (DE-627)778370186 (DE-576)40102816X (DE-600)2755369-3 2279-7807, http://hdl.handle.net/10419/95259 Resolving-System kostenfrei Volltext, http://hdl.handle.net/10419/95259 LFER, LFER 2019-07-15T00:00:00Z |
spellingShingle |
Ascari, Guido, Fagiolo, Giorgio, Roventini, Andrea, Fat-Tail Distributions and Business-Cycle Models, Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi, Quaderni del Dipartimento, 157.2012, Recent empirical findings suggest that macroeconomic variables are seldom normally dis- tributed. For example, the distributions of aggregate output growth-rate time series of many OECD countries are well approximated by symmetric exponential-power (EP) den- sities, 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 sta- tistical 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., Online-Publikation |
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9783567594 |
title |
Fat-Tail Distributions and Business-Cycle Models |
title_auth |
Fat-Tail Distributions and Business-Cycle Models |
title_full |
Fat-Tail Distributions and Business-Cycle Models Guido Ascari; Giorgio Fagiolo; Andrea Roventini |
title_fullStr |
Fat-Tail Distributions and Business-Cycle Models Guido Ascari; Giorgio Fagiolo; Andrea Roventini |
title_full_unstemmed |
Fat-Tail Distributions and Business-Cycle Models Guido Ascari; Giorgio Fagiolo; Andrea Roventini |
title_in_hierarchy |
157.2012. Fat-Tail Distributions and Business-Cycle Models (2012) |
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Fat-Tail Distributions and Business-Cycle Models |
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fat tail distributions and business cycle models |
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Online-Publikation |
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Online-Publikation |
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