innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future … productivity. Thus, market-wide changes in return correlation contain information about changes in future technological … yield curve and significantly exceeds that of some other widely used financial indicators. The macroeconomic effects of an …

This paper elaborates on the relative importance of sectoral shocks for real economic activity in Germany. Implications …. The empirical evidence is obtained by calculating cross-correlation coefficients of sectoral stock market returns with …