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Title: Macroeconomic effects of reallocation shocks: a generalised impulse response function analysis for three European countries
Authors: Panagiotidis, Theodore
Pelloni, Gianluigi
Polasek, Wolfgang
Keywords: Sectoral shifts
Employment fluctuations
Generalised impulse response function
VAR-GARCH models
Issue Date: 2003
Abstract: We 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.
Description: Economics Research Paper no.03-15
URI: https://dspace.lboro.ac.uk/2134/356
Appears in Collections:Working Papers (Economics)

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