The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis

WenShwo Fang, Stephen Miller and ChunShen Lee ()

No 2008-48, Working papers from University of Connecticut, Department of Economics

Abstract: 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.

Keywords: Real GDP growth; the Great Moderation; leptokurtosis; GARCH models (search for similar items in EconPapers)
JEL-codes: C32 E32 O40 (search for similar items in EconPapers)
Date: 2008-12
New Economics Papers: this item is included in nep-bec, nep-cba and nep-mac
Note: 10 pages
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Published in Empirical Economic Letters, June 2010.

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Working Paper: The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis (2009)
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