Abadir, K.M., Caggiano, G. and Talmain, G. (2013) Nelson-Plosser revisited: the ACF approach. Journal of Econometrics, 175(1), pp. 22-34. (doi: 10.1016/j.jeconom.2013.02.006)
Full text not currently available from Enlighten.
Abstract
We detect a new stylized fact that is common to the dynamics of all macroeconomic series, including financial aggregates. Their Auto-Correlation Functions (ACFs) share a common four-parameter functional form that arises from the dynamics of a general equilibrium model with heterogeneous firms. We find that, not only does our formula fit the data better than the ACFs that arise from auto-regressive and fractionally-integrated models, but it also yields the correct shape of the ACF, thus explaining the lags with which macroeconomic variables evolve and the onset of seemingly-sudden turning points. This finding puts a premium on quick and decisive macroeconomic policy interventions at the first signs of a turning point, in contrast to gradualist approaches.
Item Type: | Articles |
---|---|
Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Talmain, Professor Gabriel |
Authors: | Abadir, K.M., Caggiano, G., and Talmain, G. |
Subjects: | H Social Sciences > HG Finance |
College/School: | College of Social Sciences > Adam Smith Business School > Economics |
Journal Name: | Journal of Econometrics |
Publisher: | Elsevier |
ISSN: | 0304-4076 |
University Staff: Request a correction | Enlighten Editors: Update this record