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dc.contributor.authorRitschl, Albrechten_US
dc.contributor.authorUebele, Martinen_US
dc.date.accessioned2006-05-29en_US
dc.date.accessioned2009-07-23T14:43:18Z-
dc.date.available2009-07-23T14:43:18Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/25075-
dc.description.abstractThis paper examines the comovement of the stock market and of real activity in Germany before World War I under the efficient market hypothesis. We employ multivariate spectral analysis to compare rivaling national product estimates to stock market behavior in the frequency domain. Close comovement of one series with the stock market enables us to decide between various rivaling business cycle chronologies. We find that business cycle dates obtained from deflated national product series are severely distorted by interference with the implicit price deflator. Among the nominal series, the income estimate of Hoffmann (1965) correlates best with the stock market, while the tax based estimate of Hoffmann and Müller (1959) is too smooth especially before 1890. We find impressive comovement between the stock market and nominal wages, a sub-series of Hoffmann's income estimate. We can show that a substantial part of this nominal wage series is driven by data on real investment activity. Our findings confirm the traditional business cycle chronology for Germany of Burns and Mitchell (1946) and Spiethoff (1955), and lead us to discard later, rivaling business cycle chronologies.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2005,056en_US
dc.subject.jelE32en_US
dc.subject.jelE44en_US
dc.subject.jelN13en_US
dc.subject.ddc330en_US
dc.subject.keywordBusiness Cycle Chronologyen_US
dc.subject.keywordImperial Germanyen_US
dc.subject.keywordSpectral Analysisen_US
dc.subject.keywordEfficient Market Hypothesisen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwEinkommenen_US
dc.subject.stwLohnen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwWirtschaftsgeschichteen_US
dc.subject.stwDeutschland (bis 1945)en_US
dc.titleStock markets and business cvycle comovement in Germany before World War I: evidence from spectral analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn512452970en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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