Macroeconomic Effects of Reallocation Shocks:A generalised impulse response function analysis for three European countries

Theodore Panagiotidisa, Gianluigi Pellonib () and Wolfgang Polasekc
Authors registered in the RePEc Author Service: Gianluigi Pelloni () and Theodore Panagiotidis ()

Public Policy Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University

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.

New Economics Papers: this item is included in nep-eec and nep-mac
Date: 2003-01
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Related works:
Working Paper: Macroeconomic Effects of Reallocation Shocks: A Generalised Impulse Reponse Function Analysis for Three European Countries (2003)
Working Paper: Macroeconomic Effects of Reallocation Shocks:A generalised impulse response function analysis for three European countries (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:bru:bruppp:03-06

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