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Macroeconomic Effects of Sectoral Shocks in Germany, The U.K. and, The U.S. A VAR-GARCH-M Approach

Pelloni, Gianluigi; Polasek, Wolfgang - In: Computational Economics 21 (2003) 1, pp. 65-85

A VAR-GARCH-M model for aggregate employment and employment shares isdeveloped to explore the macroeconomic effects of sectoral shocks. Using U.S.,U.K. and German data, three main issues are investigated: the relevance ofshocks volatility; the amount of aggregate employment growth...

Persistent link: https://www.econbiz.de/10005808930

Macroeconomic Effects of Sectoral Shocks in Germany, The U.K. and, The U.S.: A VAR-GARCH-M Approach

Pelloni, Gianluigi; Polasek, Wolfgang - In: Computational Economics 21 (2003) 1_2, pp. 65-85

A VAR-GARCH-M model for aggregate employment and employment shares is developed to explore the macroeconomic effects of sectoral shocks. Using U.S., U.K. and German data, three main issues are investigated: the relevance of shocks volatility; the amount of aggregate employment growth variation...

Persistent link: https://www.econbiz.de/10005701637