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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 ; Jamin, Gösta :
The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling.
[Online-Edition: http://econstor.eu/bitstream/10419/84865/1/ddpie_127.pdf]
In: Darmstadt Discussion Papers in Economics , 127 . Darmstadt
[Report] , (2003)

Offizielle URL: 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.

Typ des Eintrags: Report
Erschienen: 2003
Autor(en): Entorf, Horst ; Jamin, Gösta
Titel: The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling
Sprache: Englisch
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.

Reihe: Darmstadt Discussion Papers in Economics
Band: 127
Ort: Darmstadt
Fachbereich(e)/-gebiet(e): 01 Fachbereich Rechts- und Wirtschaftswissenschaften
01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete
Hinterlegungsdatum: 20 Nov 2008 08:16
Offizielle URL: http://econstor.eu/bitstream/10419/84865/1/ddpie_127.pdf
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JEL classification: F31, G12

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