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Sectoral Trends and Cycles in Germany

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  • Yin-Wong Cheung
  • Frank Westermann

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 a 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.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2001/wp-cesifo-2001-06/cesifo_wp502.pdf
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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 502.

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Date of creation: 2001
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Handle: RePEc:ces:ceswps:_502

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Cited by:
  1. Hakan Berument & Seyit Mümin Cilasun & Yýlmaz Akdi, 2006. "The Relationship Between Different Price Indices : Evidence from Turkey," Departmental Working Papers, Bilkent University, Department of Economics 0603, Bilkent University, Department of Economics.
  2. Nannette Lindenberg & Frank Westermann, 2009. "Common Trends and Common Cycles among Interest Rates of the G7-Countries," Working Papers, Institute of Empirical Economic Research 77, Institute of Empirical Economic Research.
  3. Willie Lahari, 2011. "Assessing Business Cycle Synchronisation - Prospects for a Pacific Islands Currency Union," Working Papers, University of Otago, Department of Economics 1110, University of Otago, Department of Economics, revised Oct 2011.

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