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Macroeconomic Effects of Reallocation Shocks: A generalised impulse response function analysis for three European countries

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  • Theodore Panagiotidis

    ()
    (Dept of Economics, Loughborough University)

  • Gianluigi Pelloni

    ()
    (University of Bologna)

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.

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Bibliographic Info

Paper provided by Department of Economics, Loughborough University in its series Discussion Paper Series with number 2003_15.

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Date of creation: Dec 2003
Date of revision: Dec 2003
Handle: RePEc:lbo:lbowps:2003_15

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Keywords: sectoral shifts; employment fluctuations; generalised impulse response function.;

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  1. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 119-147, September.
  2. Campbell, Jeffrey R. & Kuttner, Kenneth N., 1996. "Macroeconomic effects of employment reallocation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 44(1), pages 87-116, June.
  3. Simon M. Potter, 1999. "Nonlinear impulse response functions," Staff Reports, Federal Reserve Bank of New York 65, Federal Reserve Bank of New York.
  4. Giovanni Gallipoli & Gianluigi Pelloni, 2013. "Macroeconomic Effects of Job Reallocations: A Survey," Working Paper Series, The Rimini Centre for Economic Analysis 37_13, The Rimini Centre for Economic Analysis.
  5. Chib S. & Jeliazkov I., 2001. "Marginal Likelihood From the Metropolis-Hastings Output," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 96, pages 270-281, March.
  6. Abraham, Katharine G. & Katz, Lawrence F., 1986. "Cyclical Unemployment: Sectoral Shifts or Aggregate Disturbances?," Scholarly Articles 3442781, Harvard University Department of Economics.
  7. Giovanni Gallipoli & Gianluigi Pelloni, 2008. "Aggregate Shocks vs Reallocation Shocks: an Appraisal of the Applied Literature," Working Paper Series, The Rimini Centre for Economic Analysis 27-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  8. Gianluigi Pelloni & Wolfgang Polasek, 2000. "Macroeconomic Effects Of Sectoral Shocks In Us, Uk And Germany: A Bvar-Garch-M Approach," Computing in Economics and Finance 2000, Society for Computational Economics 253, Society for Computational Economics.
  9. Davis, Steven J, 1987. "Allocative Disturbances and Specific Capital in Real Business Cycle Theories," American Economic Review, American Economic Association, American Economic Association, vol. 77(2), pages 326-32, May.
  10. Davis, S.J., 1988. "Allocative Disturbances And Temporal Asymmetry In Unemployment Rate Fluctuations," Papers, Chicago - Graduate School of Business 88-57, Chicago - Graduate School of Business.
  11. Lilien, David M, 1982. "Sectoral Shifts and Cyclical Unemployment," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 90(4), pages 777-93, August.
  12. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, Elsevier, vol. 58(1), pages 17-29, January.
  13. Gianluigi Pelloni & Wolfgang Polasek, . "Intersectoral Labour Reallocation and Employment Volatility: A Bayesian Analysis using a VAR-GARCH-M model," Discussion Papers, Department of Economics, University of York 99/4, Department of Economics, University of York.
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Cited by:
  1. Theodore Panagiotidis & Gianluigi Pelloni, 2013. "Employment Reallocation and Unemployment Revisited: A Quantile Regression Approach," Working Paper Series, The Rimini Centre for Economic Analysis 01_13, The Rimini Centre for Economic Analysis, revised Feb 2014.
  2. Giovanni Gallipoli & Gianluigi Pelloni, 2008. "Aggregate Shocks vs Reallocation Shocks: an Appraisal of the Applied Literature," Working Paper Series, The Rimini Centre for Economic Analysis 27-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  3. Theodore Panagiotidis & Gianluigi Pelloni, 2007. "Non-Linearity In The Canadian And Us Labour Markets: Univariate And Multivariate Evidence From A Battery Of Tests," Working Paper Series, The Rimini Centre for Economic Analysis 06-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  4. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(5), pages 719-740, August.
  5. Theodore Panagiotidis & Gianluigi Pelloni, 2014. "Asymmetry and Lilien’s Sectoral Shifts Hypothesis: A Quantile Regression Approach," Working Paper Series, The Rimini Centre for Economic Analysis 15_14, The Rimini Centre for Economic Analysis.
  6. Giovanni Gallipoli & Gianluigi Pelloni, 2013. "Macroeconomic Effects of Job Reallocations: A Survey," Review of Economic Analysis, Rimini Centre for Economic Analysis, Rimini Centre for Economic Analysis, vol. 5(2), pages 127-176, December.

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