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Sectoral trends and cycles in Germany

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Author Info
Yin-Wong Cheung
Frank Westermann

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Abstract

We examine the comovements between the output indexes of three German sectors (manufacturing, mining, and agriculture) and the three corresponding sectoral stock market indexes. It is found that data with and without seasonal adjustment give mixed results on the long-run interaction between the sectoral indexes. Compared with data that are non-seasonally adjusted, the adjusted data offer weaker evidence on the cointegration relationship between a) the sectoral output indexes, b) sectoral stock indexes, and c) individual pairs of real and financial indexes. On short-run comovement, seasonally adjusted data offer stronger evidence on the presence of common synchronized and non-synchronized cyclical components. Copyright Springer-Verlag Berlin Heidelberg 2003

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File URL: http://hdl.handle.net/10.1007/s001810100123
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Article provided by Springer in its journal Empirical Economics.

Volume (Year): 28 (2003)
Issue (Month): 1 (January)
Pages: 141-156
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Handle: RePEc:spr:empeco:v:28:y:2003:i:1:p:141-156

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Related research
Keywords: Key words: Sectoral Cycles Cointegration Common Features Codependence Seasonality JEL classification: E32 C32

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  12. Cheung, Yin-Wong & Ng, Lilian K., 1998. "International evidence on the stock market and aggregate economic activity," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 281-296, September. [Downloadable!] (restricted)
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  16. Cubadda, Gianluca, 1999. "Common Cycles in Seasonal Non-stationary Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-91, May-June. [Downloadable!]
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  24. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April. [Downloadable!] (restricted)
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(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. Hakan Berument & Yilmaz Akdi & Cemal Atakan, 2005. "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(3), pages 1229-1229. [Downloadable!] (restricted)
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