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| Title: | Macroeconomic effects of reallocation shocks: a generalised impulse response function analysis for three European countries |
| Authors: | Panagiotidis, T
Pelloni, G
Polasek, W |
| Keywords: | sectoral shifts, employment fluctuations, generalised impulse response
function, VAR-GARCH models |
| Publication Date: | 2003 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Working papers, Brunel University, 03-06 |
| 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/946 |
| Appears in Collections: | School of Social Sciences Research Papers
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