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.
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First version received: March 2000/Final version received: September 2001
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ID="*" We would like to thank Michael Dooley, Juergen von Hagen, Kenneth Kletzer, Peter Kugler, Jacky So and two anonymous referees, as well as the participants of the Fifth Global Finance Conference in Mexico City, the seminars at the University of California at Santa Cruz, University of Munich, and University of Basel for their helpful comments and suggestions. This research was supported by CGES at UC Berkeley and UC Santa Cruz faculty research funds.
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Cheung, YW., Westermann, F. Sectoral trends and cycles in Germany. Empirical Economics 28, 141–156 (2003). https://doi.org/10.1007/s001810100123
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DOI: https://doi.org/10.1007/s001810100123