Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17831
Authors: 
Döpke, Jörg
Pierdzioch, Christian
Year of Publication: 
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

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