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Dance with the Dollar: Exchange Rate Exposure on the German Stock Market

Entorf, Horst and Jamin, Gösta (2002):
Dance with the Dollar: Exchange Rate Exposure on the German Stock Market.
Darmstadt, In: Darmstadt Discussion Papers in Economics, [Online-Edition: http://tuprints.ulb.tu-darmstadt.de/4808],
[Report]

Abstract

We estimate the Dollar exposure of German DAX corporations. Our results are based on a new time-variant, APT-based and panel econometric extension of the exchange-rate exposure model in the tradition of Adler and Dumas (1984) and Jorion (1990). Our stock market data consist of 28 performance indices of German DAX corporations. We include macroeconomic risk factors, and data on export and import involvement. Dollar exposures turn out to differ between exporters and importers and they are rather unstable over time. In contrast to most previous studies in the literature that find little evidence of exposure, we confirm recent results of Dominguez and Tesar (2001) who report that higher foreign involvement corresponds to higher exposure at least in Germany. Moreover, our findings suggest that exposure also depends on the prevailing level of the Dollar exchange rate.

Item Type: Report
Erschienen: 2002
Creators: Entorf, Horst and Jamin, Gösta
Title: Dance with the Dollar: Exchange Rate Exposure on the German Stock Market
Language: English
Abstract:

We estimate the Dollar exposure of German DAX corporations. Our results are based on a new time-variant, APT-based and panel econometric extension of the exchange-rate exposure model in the tradition of Adler and Dumas (1984) and Jorion (1990). Our stock market data consist of 28 performance indices of German DAX corporations. We include macroeconomic risk factors, and data on export and import involvement. Dollar exposures turn out to differ between exporters and importers and they are rather unstable over time. In contrast to most previous studies in the literature that find little evidence of exposure, we confirm recent results of Dominguez and Tesar (2001) who report that higher foreign involvement corresponds to higher exposure at least in Germany. Moreover, our findings suggest that exposure also depends on the prevailing level of the Dollar exchange rate.

Series Name: Darmstadt Discussion Papers in Economics
Volume: 117
Place of Publication: Darmstadt
Collation: 35 S.
Divisions: 01 Department of Law and Economics
01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete
Date Deposited: 07 Feb 2016 20:55
Official URL: http://tuprints.ulb.tu-darmstadt.de/4808
URN: urn:nbn:de:tuda-tuprints-48081
Additional Information:

JEL classification: G15, F31, C23

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