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Pré-Publication, Document De Travail Année : 2012

Fat-Tail Distributions and Business-Cycle Models

Guido Ascari
  • Fonction : Auteur
Giorgio Fagiolo
  • Fonction : Auteur
  • PersonId : 1310752
Andrea Roventini
  • Fonction : Auteur
  • PersonId : 1068864

Résumé

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.
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Dates et versions

hal-04141131 , version 1 (26-06-2023)

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  • HAL Id : hal-04141131 , version 1

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Guido Ascari, Giorgio Fagiolo, Andrea Roventini. Fat-Tail Distributions and Business-Cycle Models. 2012. ⟨hal-04141131⟩
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