Macroeconomic Effects of Reallocation Shock: A Generalished Impulse Response Function Analysis for Three European Countries

Gianluigi Pelloni and Theodore Panagiotidis

Journal of Economic Integration, 2003, vol. 18, 794-816

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 outout of our GIRF analysis, we explore the behaviour of three European countries(Gremany, 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 charater of our exercise.

Keywords: Sectoral Shifts; Employment flutuations; Generalised impulse response function; VAR-GARCH models (search for similar items in EconPapers)
JEL-codes: C10 E30 J21 (search for similar items in EconPapers)
Date: 2003
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Related works:
Working Paper: Macroeconomic Effects of Reallocation Shocks:A generalised impulse response 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)
Working Paper: Macroeconomic Effects of Reallocation Shocks: A generalised impulse response function analysis for three European countries (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0260

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