Panagiotidis, Theodore; Pelloni, Gianluigi - School of Business and Economics, Loughborough University - 2003
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...