| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP5406
|
| DP5406 The Elusive Costs and the Immaterial Gains of Fiscal Constraints |
| Fabio Canova; Evi Pappa
|
| 发表日期 | 2005-12-16
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | This paper examines the comovement of the stock market and of real activity in Germany before World War I under the efficient market hypothesis. We employ multivariate spectral analysis to compare rivaling national product estimates to stock market behaviour in the frequency domain. Close comovement of one series with the stock market enables us to decide between various rivaling business cycle chronologies. We find that business cycle dates obtained from deflated national product series are severely distorted by interference with the implicit price deflator. Among the nominal series, the income estimate of Hoffmann (1965) correlates best with the stock market, while the tax based estimate of Hoffmann and Müller (1959) is too smooth especially before 1890. We find impressive comovement between the stock market and nominal wages, a sub-series of Hoffmann's income estimate. We can show that a substantial part of this nominal wage series is driven by data on real investment activity. Our findings confirm the traditional business cycle chronology for Germany of Burns and Mitchell (1946), and lead us to discard later attempts to date the business cycle. |
| 主题 | International Macroeconomics
|
| 关键词 | Business cycle chronology
Imperial germany
Spectral analysis
Efficient market hypothesis
|
| URL | https://cepr.org/publications/dp5406
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534265
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推荐引用方式
GB/T 7714 |
Fabio Canova,Evi Pappa. DP5406 The Elusive Costs and the Immaterial Gains of Fiscal Constraints. 2005.
|
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