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Sectoral trends and cycles in Germany

  • Yin-Wong Cheung
  • Frank Westermann

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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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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