Effetti di persistenza in un modello disaggregato del prodotto in Italia

Abstract

This paper builds on recent works dealing with the measurement of the long-run response of output to system-wide shocks at a multisectoral level. The analysis is carried out at aggregate and sectoral level using a vector autoregression framework on Italian value added annual data from 1952 to 1997, disaggregated by eight sectors. The persistence is measured under models that impose simultaneously short-run common feature and long-run cointegration restrictions. Further, the paper examines the time profile of the persistent effect of shocks on the economy, the "persistence profiles", providing information on the speed of convergence to the new equilibrium.