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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
Issue 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.
Appears in Collections:Dept of Economics and Finance Research Papers

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