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

Author

Listed:
  • Gianluigi Pelloni

    (Loughborough University)

  • Theodore Panagiotidis

    (Loughborough University)

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.

Suggested Citation

  • Gianluigi Pelloni & Theodore Panagiotidis, 2003. "Macroeconomic Effects of Reallocation Shock: A Generalished Impulse Response Function Analysis for Three European Countries," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 18, pages 794-816.
    • Handle: RePEc:ris:integr:0260
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    Cited by:

    1. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    2. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 719-740, August.
    3. Giovanni Gallipoli & Gianluigi Pelloni, 2013. "Macroeconomic Effects of Job Reallocations: A Survey," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 5(2), pages 127-176, December.
    4. Theodore Panagiotidis & Gianluigi Pelloni, 2014. "Asymmetry and Lilien’s Sectoral Shifts Hypothesis: A Quantile Regression Approach," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 6(1), pages 68-86, June.
    5. Theodore Panagiotidis & Gianluigi Pelloni, 2013. "Employment Reallocation and Unemployment Revisited: A Quantile Regression Approach," Working Paper series 01_13, Rimini Centre for Economic Analysis, revised Feb 2014.
    6. Panagiotidis, Theodore & Pelloni, Gianluigi, 2007. "Nonlinearity In The Canadian And U.S. Labor Markets: Univariate And Multivariate Evidence From A Battery Of Tests," Macroeconomic Dynamics, Cambridge University Press, vol. 11(5), pages 613-637, November.
    7. Yanggyu Byun & Hae-shin Hwang, 2015. "Sectoral shifts or aggregate shocks? A new test of sectoral shifts hypothesis," Empirical Economics, Springer, vol. 49(2), pages 481-502, September.
    8. Giovanni Gallipoli & Gianluigi Pelloni, 2008. "Aggregate Shocks vs Reallocation Shocks: an Appraisal of the Applied Literature," Working Paper series 27_08, Rimini Centre for Economic Analysis.
    9. repec:rim:rimwps:06-07 is not listed on IDEAS

    More about this item

    Keywords

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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • J21 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Force and Employment, Size, and Structure

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