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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