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| Tekijä: | Abadir, K. Talmain, G. |
| Otsikko: | Aggregation, persistence and volatility in a macro model |
| Lehti: | Review of Economic Studies
2002 : OCT, VOL. 69:4(241), p. 749-779 |
| Asiasana: | Macroeconomics Econometric models Business cycles |
| Kieli: | eng |
| Tiivistelmä: | The authors introduce firm heterogeneity into the standard monopolistically competitive real business cycle model. The funfamental equilibrium path is derived and the time-series properties of aggregate GDP are studied analytically. Although firms' productivities are subject to temporary shocks, the aggregate process displays a novel form of nonlinearity and long memory which has not been built into the model at the outset. This aggregate GDP turns out to have very different properties from log-linear time-series models such as auto-regressive models and their extensions. It displays very strong persistence, which ends abruptly with a sudden change of tendency, giving its autocorrelation function an S-shape. |
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