Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/47026 
Year of Publication: 
1998
Citation: 
[Publisher:] Institut für Weltwirtschaft (IfW) [Place:] Kiel [Year:] 1998
Series/Report no.: 
Kiel Working Paper No. 899
Publisher: 
Kiel Institute of World Economics (IfW), Kiel
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
Document Version: 
Digitized Version

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