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

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posted on 12.08.2005, 12:54 by Theodore Panagiotidis, Gianluigi Pelloni, Wolfgang Polasek
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.

History

School

  • Business and Economics

Department

  • Economics

Pages

286883 bytes

Publication date

2003

Notes

Economics Research Paper no.03-15

Language

en