This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Tracking down the business cycle: A dynamic factor model for Germany 1820-1913

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Sarferaz, Samad
Uebele, Martin

Additional information is available for the following registered author(s):

Abstract

We use a Bayesian dynamic factor model in order to calculate an economic activity index for Germany prior to World War I. The procedure allows us to incorporate information from a vast number of time series, which are underutilized by historical national accounts. Therefore, our indicator provides an alternative measure for economic activity, based on a broader database. To investigate industrialization, we compare our aggregate measure of economic activity with sectoral activity indices. We find that the industrial transition was completed earlier than agricultural output and employment shares suggest, since the indicator for agriculture had already decoupled from the aggregate business cycle measure during the 1860s. Moreover, we find that stock prices are strongly correlated with our indicator, and lead it by 1-2 years.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/B6WFJ-4W45WN8-1/2/6945c9e1ee86792bf67ca0933e5c92d5
File Format:
File Function:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Elsevier in its journal Explorations in Economic History.

Volume (Year): 46 (2009)
Issue (Month): 3 (July)
Pages: 368-387
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:exehis:v:46:y:2009:i:3:p:368-387

Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/622830

For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).

Related research
Keywords: Business cycle chronology Imperial Germany Dynamic factor models Industrialization;

Other versions of this item:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Albrecht Ritschl & Martin Uebele, 2005. "Stock Markets and Business Cycle Comovement in Germany before World War I: Evidence from Spectral Analysis," SFB 649 Discussion Papers SFB649DP2005-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? IDEAS uses the data collected within the RePEc project, the largest online bibliographic database in Economics.

This page was last updated on 2009-11-7.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.