Macroeconomic effects of reallocation shocks: a generalised impulse response function analysis for three european countries.

Panagiotidisa, Theodore ; Pellonib, Gianluigi ; Polasekc, Wolfgang (2003) Macroeconomic effects of reallocation shocks: a generalised impulse response function analysis for three european countries. p. 30. DOI 10.6092/unibo/amsacta/1543.
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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.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Panagiotidisa, Theodore
Pellonib, Gianluigi
Polasekc, Wolfgang
Keywords
sectoral shifts, employment fluctuations, generalised impulse response function, VAR-GARCH models
Subjects
DOI
Deposit date
15 Feb 2006
Last modified
17 Feb 2016 14:32
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