Macroeconomic Effects of Sectoral Shocks in Germany, The U.K. and, The U.S. A VAR-GARCH-M Approach

Gianluigi Pelloni and Wolfgang Polasek

Computational Economics, 2003, vol. 21, issue 1, 65-85

Abstract: A VAR-GARCH-M model for aggregate employment and employment shares isdeveloped to explore the macroeconomic effects of sectoral shocks. Using U.S.,U.K. and German data, three main issues are investigated: the relevance ofshocks volatility; the amount of aggregate employment growth variationaccounted for by re-allocation shocks and the amount of aggregate innovation volatility explained by sectoral components. Bayesian methods are used for estimation model selection and innovation accounting – Bayes factors for model selection and MCMC for estimation. The results favor the VAR-GARCH-M model. A significant GARCH-M component indicates the presence of volatility clustering and the feedback of volatilities on aggregate employment and sectoral shares growth rates. The innovation analysis supports sectoral shocks as a triggering force for aggregate employment fluctuations. In all three countries, 45% to 55% ofaggregate employment variation is accounted for by sectoral innovations. Copyright Kluwer Academic Publishers 2003

Keywords: intersectoral labour re-allocation; aggregate employment fluctuations; non-linearities; VAR-GARCH models (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://hdl.handle.net/10.1023/A:1022238914245 (text/html)
Access to full text is restricted to subscribers.

Related works:
Journal Article: Macroeconomic Effects of Sectoral Shocks in Germany, The U.K. and, The U.S.: A VAR-GARCH-M Approach (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:21:y:2003:i:1:p:65-85

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

DOI: 10.1023/A:1022238914245

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().