Artikel
Brokers and Business Cycles: Does Financial Market Volatility Cause Real Fluctuations?
Kurse und Konjunkturzyklen: Verursachen Finanzmarktvolatilitäten Schwankungen der realwirtschaftlichen Aktivität? Dieser Beitrag analysiert den Zusammenhang zwischen Finanzmarktvolatilität und realer ökonomischer Aktivität. Unter Verwendung von Monatsdaten für die Bundesrepublik Deutschland für die Jahre 1968 bis 1998 werden GARCH-Modelle für den DAX, die kurz- und langfristigen Zinsen und den realen Wechselkurs der DM spezifiziert. Es wird getestet, ob die daraus abgeleiteten bedingten Varianzen einen Einfluß auf die nachfolgende konjunkturelle Entwicklung beziehungsweise die Schwankungsintensität der Industrieproduktion ausüben. Aufgrund empirischer Analysen wird diese Hypothese verworfen.
- Language
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Englisch
- Bibliographic citation
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Journal: Kredit und Kapital ; ISSN: 0023-4591 ; Volume: 34 ; Year: 2001 ; Issue: 3 ; Pages: 327-355
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
- Event
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Geistige Schöpfung
- (who)
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Döpke, Jörg
Pierdzioch, Christian
- Event
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Veröffentlichung
- (who)
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Duncker & Humblot
- (where)
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Berlin
- (when)
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2001
- DOI
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doi:10.3790/ccm.34.3.327
- Last update
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10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Döpke, Jörg
- Pierdzioch, Christian
- Duncker & Humblot
Time of origin
- 2001
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