Abadir, Karim M.; Talmain, Gabriel; Caggiano, Giovanni - Rimini Centre for Economic Analysis (RCEA) - 2008
We detect a new stylized fact about the common dynamics of macroeconomic and financial aggregates. The rate of decay of the memory of these series is depicted by their Auto-Correlation Functions (ACFs). They all share a common four-parameter functional form that we derive from the dynamics of an...