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

Theodore Panagiotidis and Gianluigi Pelloni

Discussion Paper Series from Department of Economics, Loughborough 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.

Keywords: sectoral shifts; employment fluctuations; generalised impulse response function. (search for similar items in EconPapers)
JEL-codes: C10 E30 J21 (search for similar items in EconPapers)
Date: 2003-12, Revised 2003-12
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (12)

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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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