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

Panagiotidis, Theodore; Pelloni, Gianluigi; Polasek, Wolfgang

Journal of Economic Integration 2003 December;18(4) :794-816.

Theodore Panagiotidis, Gianluigi Pelloni, Wolfgang Polasek

Loughborough University
Ryerson university
Institute of Advanced Studies

Corresponding Author: Gianluigi Pelloni ,Email: pelloni@arts.ryerson.ca

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.

JEL Classification

E30: General
C10: General
J21 : Labor Force and Employment, Size, and Structure

Keywords: Sectoral shifts | Employment fluctuations | Generalised impulse response function | VAR-GARCH models