HETEROGENEOUS DYNAMICS, AGGREGATION, AND THE PERSISTENCE OF ECONOMIC SHOCKS
研究了基于微观和宏观数据估算的经济冲击持续性为何存在差异，证明加总水平越高，自回归系数和等持续性测度的平均值越大，并用美国和欧洲通胀数据验证。
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.