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, Erstveröffentlichung
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: | 2008 |
| Autor(en): | Entorf, Horst ; Jamin, Gösta |
| Art des Eintrags: | Erstveröffentlichung |
| Titel: | The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APT-modelling |
| Sprache: | Englisch |
| Publikationsjahr: | 2008 |
| Ort: | Darmstadt |
| Reihe: | Darmstadt Discussion Papers in Economics |
| Band einer Reihe: | 127 |
| URL / URN: | http://tuprints.ulb.tu-darmstadt.de/4799 |
| 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. |
| URN: | urn:nbn:de:tuda-tuprints-47992 |
| Zusätzliche Informationen: | JEL classification: F31, G12; Erstellt Dezember 2003 |
| Sachgruppe der Dewey Dezimalklassifikatin (DDC): | 300 Sozialwissenschaften > 330 Wirtschaft |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete |
| Hinterlegungsdatum: | 31 Jan 2016 20:59 |
| Letzte Änderung: | 25 Okt 2023 07:46 |
| PPN: | |
| Export: | |
| Suche nach Titel in: | TUfind oder in Google |
 |
Frage zum Eintrag |
Optionen (nur für Redakteure)
 |
Redaktionelle Details anzeigen |
Drucken
Impressum