TU Darmstadt / ULB / TUprints

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

Entorf, Horst ; Jamin, Gösta (2008)
The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling.
Report, Primary publication

[img]
Preview
Text
ddpie_127.pdf
Copyright Information: In Copyright.

Download (276kB) | Preview
Item Type: Report
Type of entry: Primary publication
Title: The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling
Language: English
Date: 20 November 2008
Place of Publication: Darmstadt
Series: Darmstadt Discussion Papers in Economics
Series Volume: 127
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.

URN: urn:nbn:de:tuda-tuprints-47992
Additional Information:

JEL classification: F31, G12; Erstellt Dezember 2003

Classification DDC: 300 Social sciences > 330 Economics
Divisions: 01 Department of Law and Economics
01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete
Date Deposited: 20 Nov 2008 08:16
Last Modified: 25 Oct 2023 07:45
URI: https://tuprints.ulb.tu-darmstadt.de/id/eprint/4799
PPN: 37832554X
Export:
Actions (login required)
View Item View Item