Entorf, Horst ; Jamin, Gösta (2003)
The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling.
Report, Bibliographie
Kurzbeschreibung (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.
| Typ des Eintrags: | Report |
|---|---|
| Erschienen: | 2003 |
| Autor(en): | Entorf, Horst ; Jamin, Gösta |
| Art des Eintrags: | Bibliographie |
| Titel: | The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling |
| Sprache: | Englisch |
| Publikationsjahr: | Dezember 2003 |
| Ort: | Darmstadt |
| Reihe: | Darmstadt Discussion Papers in Economics |
| Band einer Reihe: | 127 |
| URL / URN: | http://econstor.eu/bitstream/10419/84865/1/ddpie_127.pdf |
| Kurzbeschreibung (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. |
| Zusätzliche Informationen: | JEL classification: F31, G12 |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete |
| Hinterlegungsdatum: | 20 Nov 2008 08:16 |
| Letzte Änderung: | 29 Mai 2016 21:16 |
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