Entorf, Horst and Jamin, Gösta (2003):
The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling.
In: Darmstadt Discussion Papers in Economics, 127, Darmstadt, [Report]
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Item Type: | Report |
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Title: | The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling |
Language: | English |
Abstract: | We estimate the impact of dollar changes on the value of German DAX corporations, using APT-modelling for the period 1977 - 1995. Several macroeconomic risk factors, including the dollar and a residual market factor representing the general market risk, are specified. The general notion is that the export-oriented German companies should benefit from increasing dollar values. We find time-varying dollar exposure presumably depending on the prevailing trade regime. Dollar sensitivity is positive as expected in periods with a positive trade balance, whereas it turns negative in periods with a negative trade balance (e.g., in the first half of the 1980s). APT-modelling simultaneously considers exchange rate exposure and risk-premia of macroeconomic risk factors, the latter also being unstable over time. |
Series Name: | Darmstadt Discussion Papers in Economics |
Volume: | 127 |
Place of Publication: | Darmstadt |
Classification DDC: | 300 Sozialwissenschaften > 330 Wirtschaft |
Divisions: | 01 Department of Law and Economics 01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete |
Date Deposited: | 20 Nov 2008 08:16 |
Last Modified: | 09 Jul 2020 01:02 |
URN: | urn:nbn:de:tuda-tuprints-47992 |
Additional Information: | JEL classification: F31, G12 |
URI: | https://tuprints.ulb.tu-darmstadt.de/id/eprint/4799 |
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