Kiel Working Papers, Kiel Institute for World Economics
No 966:
Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle
Jörg Döpke and Christian Pierdzioch
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.
Keywords: real business cycles, sectoral shocks, stock market dispersion, probit model, structural VAR; (follow links to similar papers)
JEL-Codes: E32; E44; (follow links to similar papers)
33 pages, February 2000
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