期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2005
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：We detect a new stylized fact about the common dynamics of macroeconomic
and financial aggregates. The rate of decay of the memory of these
series is depicted by their Auto-Correlation Functions (ACFs). They all share
a common four-parameter functional form that we derive from the dynamics
of an RBC model with heterogeneous firms. We find that, not only does
our formula fit the data better than the ACFs that arise from autoregressive
models, but it also yields the correct shape of the ACF. This can help policymakers
understand better the lags with which an economy evolves, and
the onset of its turning points. (JEL E32, E52, E63).
