HETEROGENEOUS DYNAMICS, AGGREGATION, AND THE PERSISTENCE OF ECONOMIC SHOCKS

• 成果类型: Article
• 署名作者: Mayoral, Laura
• 署名单位: Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE); Barcelona School of Economics
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12037
• 发表日期: 2013
• 页码: 1295-1307
• 关键词: inflation dynamics; price; deviations; inference; models

摘要

Estimates of shock persistence based on disaggregate or on aggregate data are frequently very different. This article takes a step toward reconciling this apparent disconnect between micro- and macro-based estimates of shock response. It is shown that, although the average of the individual impulse response functions (IRFs) is identical to the aggregate IRF, averages of other popular persistence measures, such as the sum of the autoregressive coefficients among others, tend to be larger the higher the aggregation level. The theoretical results are illustrated with two applications that use U.S. and European inflation data.