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

Jörg Döpke and Christian Pierdzioch

No 966, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

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 (search for similar items in EconPapers)
JEL-codes: E32 E44 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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Journal Article: Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:966

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