Macroeconomic Effects of Reallocation Shocks: A Generalised Impulse Reponse Function Analysis for Three European Countries

Panagiotidis, Theodore ; Pelloni, Gianluigi ; Polasek, Wolfgang (2004) Macroeconomic Effects of Reallocation Shocks: A Generalised Impulse Reponse Function Analysis for Three European Countries. Bologna: Dipartimento di Scienze economiche DSE, p. 28. DOI 10.6092/unibo/amsacta/4788. In: Quaderni - Working Paper DSE (505). ISSN 2282-6483.
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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
Tipologia del documento
Monografia (Working paper)
Autori
AutoreAffiliazioneORCID
Panagiotidis, Theodore
Pelloni, Gianluigi
Polasek, Wolfgang
Parole chiave
sectoral shifts, employment fluctuations, generalised impulse response function, VAR-GARCH models
Settori scientifico-disciplinari
Area 13 - Scienze economiche e statistiche > SECS-P/01 Economia politica
ISSN
2282-6483
DOI
10.6092/unibo/amsacta/4788
Data di deposito
04 Mar 2016 12:03
Ultima modifica
04 Mar 2016 12:03
URI
https://amsacta.unibo.it/id/eprint/4788

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