Ricerc@Sapienza

Johansen (1988) introduced the concept of cointegrating space in the case for I(1) VAR
processes, discussing its connection to the identification problem of a system of cointegrating relations.
This paper discusses the corresponding definition for higher order systems, discussing its connection
to the identification problem of a relevant system of cointegrating relations.

A generalization of the Granger and the Johansen Representation
Theorems valid for any (possibly fractional) order of integration is pre-
sented. This Representation Theorem is based on inversion results that
characterize the order of the pole and the coefficients of the Laurent series
representation of the inverse of a matrix function around a singular point.
Explicit expressions of the matrix coefficients of the (polynomial) cointe-
grating relations, of the Common Trends and of the Triangular representa-

This article defines the class of -valued autoregressive (AR) processes with a unit root of finite type, where is a possibly infinite-dimensional separable Hilbert space, and derives a generalization of the Granger–Johansen Representation Theorem valid for any integration order . An existence theorem shows that the solution of an AR process with a unit root of finite type is necessarily integrated of some finite integer order d, displays a common trends representation with a finite number of common stochastic trends, and it possesses an infinite-dimensional cointegrating space when .

Italy experienced higher and more persistent rates of inflation than other Western economies during the Great Inflation (1971-1979). The policy response in Italy was prompted by the idea that wages were the carrier of inflation, and that the devaluation of the Lira was the only viable response to sustain firms’ profit rates and aggregate demand. We discuss the relevance of this policy approach and conclude, against the prevalent view, that the devaluation worsened the inflation spiral while wages played only a marginal role.

For a panel of 21 OECD heterogeneous countries from 1991 to 2015, we study governments’ reactions to the accumulation of debt and look at whether governments voluntary take corrective measures when the debt-GDP ratio starts rising or they rather let the debt grow. We distinguish between discretionary and automatic response of primary balance of government actions, as captured by the structural component of public primary balance and by cyclical component of public primary balance.