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Title:Brokers and business cycles: Does financial market volatility cause real fluctuations? PDF Logo
Authors:Döpke, Jörg
Pierdzioch, Christian
Issue Date:1998
Series/Report no.:Kiel Working Papers 899
Abstract:This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of interest and test for the impact of the conditional variance on the future stance of the business cycle and on the volatility of industrial production. The results of our empirical investigation lead us to reject the hypothesis that financial market volatility causes the cycle or real volatility.
Subjects:Uncertainty
GARCH models
forecasting
Granger-non-causality
causality-in-variance
JEL:C32
D8
E32
Document Type:Working Paper
Appears in Collections:Kieler Arbeitspapiere, IfW
Publikationen von Forscherinnen und Forschern des IfW

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