German stock market behavior and the IFO business climate index

dc.contributor.author	Jovanovic, Mario
dc.date.accessioned	2011-01-25T13:33:11Z
dc.date.available	2011-01-25T13:33:11Z
dc.date.issued	2011-01-25
dc.description.abstract	This paper investigates the driving force for German stock market behavior - stock market confidence. By using monthly new VDAX closing prices and a copula-based Markov approach, a proxy for German stock market confidence is derived. It can be shown that confidence responds to expected output changes in terms of differences of the IFO business climate index and to US confidence changes. Furthermore,German stock market behavior seems to be sticky in comparison to the United States and reduces the marginal effects of the remaining adjustment factors. JEL Classification: C12, C22, E44	en
dc.identifier.uri	http://hdl.handle.net/2003/27588
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-8182
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823 ; 04/2011
dc.subject	Stock market uncertainty	en
dc.subject	Temporal dependence	en
dc.subject	VDAX-New	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	German stock market behavior and the IFO business climate index	en
dc.title.alternative	a copula-based Markov approach	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access
eldorado.dnb.deposit	true

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