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Macroeconomic Effects of Reallocation Shock: A Generalished Impulse Response Function Analysis for Three European Countries

Pelloni, Gianluigi and Panagiotidis, Theodore (2003) Macroeconomic Effects of Reallocation Shock: A Generalished Impulse Response Function Analysis for Three European Countries. Journal of Economic Integration, 18. pp. 794-816.

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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 outout of our GIRF analysis, we explore the behaviour of three European countries(Gremany, 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 charater of our exercise.

Item Type: Article
Uncontrolled Keywords: Sectoral Shifts; Employment flutuations; Generalised impulse response function; VAR-GARCH models
Depositing User: Admin Admin
Date Deposited: 13 Oct 2015 17:54
Last Modified: 13 Oct 2015 17:54
URI: http://eprints.lib.uom.gr/id/eprint/501

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