Year: 2001
Author: Döpke, Jörg, Pierdzioch, Christian
Credit and Capital Markets – Kredit und Kapital, Vol. 34 (2001), Iss. 3 : pp. 327–355
Abstract
This paper analyzes 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 volatility 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. (JEL C32, D8, E32)
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.34.3.327
Credit and Capital Markets – Kredit und Kapital, Vol. 34 (2001), Iss. 3 : pp. 327–355
Published online: 2001-03
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 29
Author Details
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