On the Sources of Fluctuations of the Italian Economy: a Structural «VAR» Analysis

The observation of a high degree of time dependence in macro-economic time series is the starting point of much of the recent empirical macroeconomics. This dependence is translated into a strong persistence of the impulses imparted to time series. Indeed, it appears (2) that many time series can be adequately represented as non stationary stochastic processes. In other words the traditional view of a deterministic trend, resulting from long term phenomena, vis-a-vis cyclical fluctuations around it, would be a misleading simplification because, in reality, fluctuations would contain permanent components due to non-deterministic trends. Consequently the evolution of the economic system would be affected by impulses of different nature (possibly including either changes of regimes of economic policies or changes in the “rules of the game”) which would shift the growth path through cyclical propagation mechanisms. These effects would impart a high degree of time persistence and would determine an hysteresis behaviour of economic time series.