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- W2068851427 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 autoregressive 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." @default.
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- W2068851427 date "2012-01-01" @default.
- W2068851427 modified "2023-09-23" @default.
- W2068851427 title "Nelson-Plosser Revisited: The ACF Approach" @default.
- W2068851427 doi "https://doi.org/10.2139/ssrn.1984836" @default.
- W2068851427 hasPublicationYear "2012" @default.
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