Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries

Fagiolo, Giorgio; Napoletano, Mauro; Roventini, Andrea

doi:10.1002/jae.1003

“…We employ the same data set for which Duschl and Brenner (2013a) have observed a non-Gaussian (almost Laplacian) distribution of regional industry-specific employment growth rates (the data will be described in the next section). This finding can be connected to previous studies which found heavier-than-Gaussian tails in the empirical distributions of firm (sales and employment) growth rates (Stanley et al, 1996;Bottazzi et al, 2011), of industry (value added) growth rates (Castaldi and Sapio, 2008) and of country (aggregate output) growth rates (Fagiolo et al, 2008). Non-Gaussian distributions might in principle result from a stochastic process governed by Gaussian shocks (Brock, 1999).…”

Section: Methodssupporting

confidence: 82%

Causal relations between knowledge-intensive business services and regional employment growth

Brenner

¹

,

Capasso

²

,

Duschl

³

et al. 2017

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Abstract:This paper studies the causal relations between regional employment growth in Knowledge-Intensive Business Services (KIBS) and overall regional employment growth using German labour-market data for the period 1999-2012. Adopting a recently developed technique, we are able to estimate a structural vector autoregressive model in which the causal directions between KIBS and other sectors are examined including various time lags. One main finding holds that although regional growth has a negative short-term effect on KIBS, KIBS growth has a long-term positive effect on the whole regional economy. This result confirms the claim that KIBS can play a key role in regional policies. Distinguishing between financial and nonfinancial KIBS, we find that financial KIBS have a procyclical effect on regional growth underlining the potential de-stabilizing effect of a large financial sector.

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“…17 Fagiolo et al (2008) find that GDP growth rates distributions are well proxied by double exponential densities, which dominate both Student's t and Levy-stable distributions. In light of such results, the choice of Curdia et al (2014) to drawn shocks from a Student's t distribution is not only ad-hoc, but not supported by the empirical evidence.…”

Section: Recent Developments In Dsge Modeling: Patches or Newmentioning

confidence: 95%

“…More generally, DSGE models can do well in "normal" time, but they cannot account for crises and deep downturns (Stiglitz, 2015). This is not surprising since macroeconomic time series distributions are well approximated by fat tail densities (Fagiolo et al, 2008) and DSGE models typically assume Gaussian distributed shocks. 10 Moreover, Ascari et al (2015) find that even fat-tailed Laplace shocks are assumed, the distributions of the time series generated by DSGE models have much thinner tails than those observed in real data.…”

Section: Empirical Issuesmentioning

confidence: 99%

Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead

Fagiolo

¹

,

Roventini

²

2016

Self Cite

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThe Great Recession seems to be a natural experiment for economic analysis, in that it has shown the inadequacy of the predominant theoretical framework -the New Neoclassical Synthesis (NNS) -grounded on the DSGE model. In this paper, we present a critical discussion of the theoretical, empirical and political-economy pitfalls of the DSGE-based approach to policy analysis. We suggest that a more fruitful research avenue should escape the strong theoretical requirements of NNS models (e.g., equilibrium, rationality, representative agent, etc.) and consider the economy as a complex evolving system, i.e. as an ecology populated by heterogenous agents, whose far-from-equilibrium interactions continuously change the structure of the system. This is indeed the methodological core of agent-based computational economics (ACE), which is presented in this paper. We also discuss how ACE has been applied to policy analysis issues, and we provide a survey of macroeconomic policy applications (fiscal and monetary policy, bank regulation, labor market structural reforms and climate change interventions). Finally, we conclude by discussing the methodological status of ACE, as well as the problems it raises.

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“…More specifically, recession duration is exponentially distributed; GDP growth rate distribution is fat-tailed (Fagiolo et al, 2008), i.e. mild and deep downturns coexists; banking crises duration is right skewed and the distribution of their fiscal cost over GDP is fat-tailed.…”

Section: Macroeconomic Dynamics and Stylized Fact Replicationmentioning

confidence: 99%

Agent-Based Macroeconomics and Classical Political Economy: Some Italian Roots

Dosi

¹

,

Roventini

²

2017

Self Cite

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract Terms of use: Documents in EconStor mayIn this work, we discuss how the rich academic milieu left by different Italian political economy traditions after WWII paved the way to the development of a new generation of macroeconomic agent-based models. The K+S (Dosi et al., 2010(Dosi et al., , 2016a, CATS (Delli Gatti et al., 2005, 2011 and EURACE (Cincotti et al., 2010;Teglio et al., 2012) families of agentbased models are at the frontier of an alternative macroeconomic research paradigm which considers the economy as a complex evolving system. The three families of models are presented in details and their empirical performance and policy exercises discussed.

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Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries

Cited by 186 publications

References 62 publications

Causal relations between knowledge-intensive business services and regional employment growth

Causal relations between knowledge-intensive business services and regional employment growth

Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead

Agent-Based Macroeconomics and Classical Political Economy: Some Italian Roots

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