Autori
Gallo, Giampiero M.
Kempf, Hubert

Titolo
Cointegration, codependence and economic fluctuations
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1995 - Fascicolo: 27 - Pagina iniziale: 1 - Pagina finale: 23

The transmission of innovations to macroeconomic variables is traditionally studied concentrating on their permanent effects. Yet, there is no conclusive evidence that only the long-term dynamics should be of interest. In this paper we offer a method based on the notion of codependence to identify the structural innovations contributing to the stationary part of a vector of cointegrated (1,1) variables. To achieve this, we introduce the notion of common cycles of order i and of a complete set of common cycles, whose implications for economic fluctuations are fully derived and discussed.



Testo completo: http://hdl.handle.net/1814/552

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