Eur. Phys. J. B 57, 205-211 (2007)
https://doi.org/10.1140/epjb/e2007-00153-0

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

¹ University of Verona, Italy and Sant'Anna School of Advanced Studies, Pisa, Italy
² Chair of Systems Design, ETH Zurich, 8032 Zurich, Switzerland and Sant'Anna School of Advanced Studies, Pisa, Italy
³ University of Modena and Reggio Emilia, Italy and Sant'Anna School of Advanced Studies, Pisa, Italy

Corresponding authors: ^a giorgio.fagiolo@univr.it - ^b mnapoletano@ethz.ch - ^c aroventini@sssup.it

Received: 31 August 2006
Revised: 19 December 2006
Published online: 30 May 2007

Abstract

This paper investigates the statistical properties of within-country gross domestic product (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 Gaussian and Laplace distributions. We find that, for a large number of OECD (Organization for Economic Cooperation and Development) countries including the US, 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.