Sectoral shifts Employment fluctuations Generalised impulse response function VAR-GARCH models
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