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

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.

Pages: 25 pages
Date: 2003-01
New Economics Papers: this item is included in nep-eec and nep-mac
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Related works:
Journal Article: Macroeconomic Effects of Reallocation Shock: A Generalished Impulse Response Function Analysis for Three European Countries (2003)
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)
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:bru:bruppp:03-06

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