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Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913

Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2004

I use a time-varying parameter model in order to study the predictability of monthly real stock returns in Germany over the period 1880–1913. I find that the extent to which returns were predictable underwent significant changes over time. Specifically, predictability of returns, as measured...

Persistent link: https://www.econbiz.de/10005818851

Politics and the Stock Market ; Evidence from Germany

Döpke, Jörg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2004

We analyze the interaction of stock market movements and politics in Germany. In contrast to the empirical evidence available for the U.S., we do not find that German stock market returns tend to be higher during liberal than during conservative governments. Also in contrast to results for the...

Persistent link: https://www.econbiz.de/10005700518

Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - Institut für Weltwirtschaft (IfW) - 2014

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...

Persistent link: https://www.econbiz.de/10011208177

Business Cycle Volatility in Germany

Buch, Claudia M.; Doepke, Joerg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2002

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and … structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …

Persistent link: https://www.econbiz.de/10005755211