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Author Döpke, Jörg ♦ Pierdzioch, Christian
Source EconStor
Content type Text
Publisher Institut für Weltwirtschaft (IfW)
File Format PDF
Copyright Year ©1998
Language English
Subject Domain (in DDC) Social sciences ♦ Economics
Subject Keyword Uncertainty ♦ GARCH models ♦ forecasting ♦ Granger-non-causality ♦ causality-in-variance ♦ Konjunktur ♦ Finanzmarkt ♦ Volatilität ♦ Schätzung ♦ Börsenkurs ♦ Wechselkurs ♦ Zins ♦ Industrielle Produktion ♦ Deutschland ♦ Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ♦ Information, Knowledge, and Uncertainty ♦ Business Fluctuations; Cycles
Abstract This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of interest and test for the impact of the conditional variance on the future stance of the business cycle and on the volatility of industrial production. The results of our empirical investigation lead us to reject the hypothesis that financial market volatility causes the cycle or real volatility.
Part of series Kiel Working Paper x899
Learning Resource Type Article
Publisher Date 1998-01-01
Publisher Institution ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft, Kiel, Hamburg
Publisher Place Kiel
Rights Holder http://www.econstor.eu/dspace/Nutzungsbedingungen