After the so-called Asia crisis in the summer of 1997 the stock markets were shaken by an increased volatility transmission phenomenon around the world. In this paper we will therefore analyse the daily stock returns in New York, Germany and Japan for a period of 2 years (June 21st, 1996 to June...

In this article a VAR-GARCH-M model for aggregate employment and employment shares is developed in order to explore the macroeconomic effects of sectoral shocks. Using US, UK and German quarterly data sets, the model is estimated and tested against alternative specifications. Three main issues...