erp03-15.pdf (302.18 kB)
Macroeconomic effects of reallocation shocks: a generalised impulse response function analysis for three European countries
preprint
posted on 2005-08-12, 12:54 authored by Theodore Panagiotidis, Gianluigi Pelloni, Wolfgang PolasekWe develop a generalised impulse response function (GIRF) approach to explore the
different impacts of aggregate and sectoral shocks within a VAR-GARCH-M model.
Using the output of our GIRF analysis, we explore the behaviour of three European
countries (Germany, Spain and the UK). We analyse the aggregate and sectoral responses
to discriminate among three different hypotheses of business cycle fluctuations. Links are
established and explanations are provided within the still experimental character of our
exercise.
History
School
- Business and Economics
Department
- Economics
Pages
286883 bytesPublication date
2003Notes
Economics Research Paper no.03-15Language
- en