Arbeitspapier
Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Kiel Working Paper ; No. 966
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Business Fluctuations; Cycles
- Thema
-
real business cycles
sectoral shocks
stock market dispersion
probit model
structural VAR
Real Business Cycle
Strukturwandel
Produktivität
Schock
Börsenkurs
Rendite
Branche
Korrelation
VAR-Modell
Schätzung
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Döpke, Jörg
Pierdzioch, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute of World Economics (IfW)
- (wo)
-
Kiel
- (wann)
-
2000
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Döpke, Jörg
- Pierdzioch, Christian
- Kiel Institute of World Economics (IfW)
Entstanden
- 2000
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