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The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis

Recently, Fagiolo et al. (2008) find fat tails in the distribution of economic growth rates after adjusting for outliers, autocorrelation, and heteroskedasticity. This paper employs US quarterly real output growth, showing that this finding of fat tails may reflect the Great Moderation. That is, leptokurtosis disappears after GARCH adjustment once we incorporate the break in the variance equation to account for the Great Moderation.
Year of publication:
2009-01
Authors: Fang, WenShwo ; Miller, Stephen M. ; Lee, ChunShen
Institutions: Department of Economics, University of Nevada-Las Vegas
Subject: real GDP growth | the Great Moderation | leptokurtosis | GARCH models
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 0903 9 pages
Classification: C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; O40 - Economic Growth and Aggregate Productivity. General
Source:
Persistent link: https://www.econbiz.de/10005650181
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