Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25075 
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dc.contributor.authorRitschl, Albrechten
dc.contributor.authorUebele, Martinen
dc.date.accessioned2006-05-29-
dc.date.accessioned2009-07-23T14:43:18Z-
dc.date.available2009-07-23T14:43:18Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2005,056en
dc.subject.jelE32en
dc.subject.jelE44en
dc.subject.jelN13en
dc.subject.ddc330en
dc.subject.keywordBusiness Cycle Chronologyen
dc.subject.keywordImperial Germanyen
dc.subject.keywordSpectral Analysisen
dc.subject.keywordEfficient Market Hypothesisen
dc.subject.stwKonjunkturen
dc.subject.stwAktienmarkten
dc.subject.stwEinkommenen
dc.subject.stwLohnen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwWirtschaftsgeschichteen
dc.subject.stwDeutschland (bis 1945)en
dc.titleStock markets and business cvycle comovement in Germany before World War I: evidence from spectral analysis-
dc.type|aWorking Paperen
dc.identifier.ppn512452970en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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