Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle
Jörg Döpke and
Swiss Journal of Economics and Statistics (SJES), 2000, vol. 136, issue IV, 531-555
This paper elaborates on the relative importance of sectoral shocks for real economic activity in Germany. Implications of multi-sectoral 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 vector autoregression 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.
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Working Paper: Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ses:arsjes:2000-iv-3
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