Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Kiel Working Paper ; No. 966

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Business Fluctuations; Cycles
• Subject: 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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Döpke, Jörg ; Pierdzioch, Christian
• Event: Veröffentlichung
• (who): Kiel Institute of World Economics (IfW)
• (where): Kiel
• (when): 2000

Further information

• Handle: http://hdl.handle.net/10419/17831
• Last update: 10.03.2025, 11:42 AM CET