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The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling

Entorf, Horst and Jamin, Gösta :
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], (2003)

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Item Type: Report
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 Law and Economics
01 Law and Economics > Volkswirtschaftliche Fachgebiete
Date Deposited: 20 Nov 2008 08:16
Last Modified: 29 Jan 2016 14:55
URN: urn:nbn:de:tuda-tuprints-47992
Additional Information:

JEL classification: F31, G12

Additional Information:

JEL classification: F31, G12

URI: http://tuprints.ulb.tu-darmstadt.de/id/eprint/4799
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