The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis
| Data(s) |
01/12/2008
|
|---|---|
| Resumo |
Recently, Fagiolo et al. (2008) find fat tails of economic growth rates after adjusting 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. |
| Formato |
application/pdf |
| Identificador |
http://digitalcommons.uconn.edu/econ_wpapers/200848 http://digitalcommons.uconn.edu/cgi/viewcontent.cgi?article=1387&context=econ_wpapers |
| Publicador |
DigitalCommons@UConn |
| Fonte |
Economics Working Papers |
| Palavras-Chave | #Real GDP growth #the Great Moderation #leptokurtosis #GARCH models #Economics |
| Tipo |
text |
