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Journal of Economic Integration 2003 December;18(4) :794-816.
Macroeconomic Effects of Reallocation Shocks: A Generalised Impulse Response Function Analysis for Three European Countries
Theodore Panagiotidis
Gianluigi Pelloni and 
Wolfgang Polasek 
Loughborough University
Ryerson university
Institute of Advanced Studies
Corresponding Author: Gianluigi Pelloni ,Email: pelloni@arts.ryerson.ca
Copyright ©2003 Journal of Economic Integration
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
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