المستودع الأكاديمي جامعة المدينة

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

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dc.creator Döpke, Jörg
dc.creator Pierdzioch, Christian
dc.date 2000
dc.date.accessioned 2013-10-16T06:56:59Z
dc.date.available 2013-10-16T06:56:59Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/17831
dc.identifier ppn:310054346
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/17831
dc.description 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.
dc.language eng
dc.publisher Kiel Institute for the World Economy (IfW) Kiel
dc.relation Kieler Arbeitspapiere 966
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E44
dc.subject E32
dc.subject ddc:330
dc.subject real business cycles
dc.subject sectoral shocks
dc.subject stock market dispersion
dc.subject probit model
dc.subject structural VAR
dc.subject Real Business Cycle
dc.subject Strukturwandel
dc.subject Produktivität
dc.subject Schock
dc.subject Börsenkurs
dc.subject Rendite
dc.subject Branche
dc.subject Korrelation
dc.subject VAR-Modell
dc.subject Schätzung
dc.subject Deutschland
dc.title Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle
dc.type doc-type:workingPaper


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