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Institut für Weltwirtschaft (IfW), Kiel >
Kieler Arbeitspapiere, IfW >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/17831
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| Title: | | Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle  |
| Authors: | | Döpke, Jörg Pierdzioch, Christian |
| Issue Date: | | 2000 |
| Series/Report no.: | | Kieler Arbeitspapiere 966 |
| Abstract: | | This paper elaborates on the relative importance of sectoral shocks for real economic activity in Germany. Implications of multisectoral real business cycle models are examined by resorting to testing techniques based on stock market returns. The empirical evidence is obtained by calculating cross-correlation coefficients of sectoral stock market returns with industrial production, by estimating a limited dependent variable model, and by setting up a trivariate structural vectorautoregression model including a stock market dispersion measure. The results suggest that the influence of sectoral shocks on the dynamics of real output is rather small. |
| Subjects: | | real business cycles sectoral shocks stock market dispersion probit model structural VAR |
| JEL: | | E44 E32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des IfW Kieler Arbeitspapiere, IfW
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