This article focuses on the relationship between the Dollar and the German stock market. Since there is only weak significance of a stable bivariate long-run relationship, relevant information sets are limited to shorter periods. Using rolling regressions, the results show that direction and...

In der vorliegenden Arbeit wird die Reaktion des DAX auf makroökonomischen Konjunkturmeldungen in Form von Veröffentlichungen des ZEWFinanzmarkttests untersucht. Zur Messung der Reaktion stehen die 15-Sekunden-Intraday- Realisationen des XDAX zur Verfügung. Die mittels Vergleich von...

Following the well-known approach by Adler and Dumas (1984) we evaluate the foreign exchange rate exposure of nations. Results based on data from 27 countries show that national foreign exchange rate exposures are significantly related to the current balance variables of corresponding economies.

This article analyses value changes of German stock market companies in response to movements of the US dollar. The approach followed in this work extends the standard means of measuring exchange rate exposure in several ways (e.g. by using multi-factor modelling instead of augmented CAPM,...

In der vorliegenden Arbeit wird die Reaktion des DAX auf makroökonomischen Konjunkturmeldungen in Form von Veröffentlichungen des ZEW-Finanzmarkttests untersucht. Zur Messung der Reaktion stehen die 15- Sekunden-Intraday-Realisationen des XDAX zur Verfügung. Die mittels Vergleich von...

This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...

Die Studie untersucht den Zusammenhang zwischen Dollar- und Aktienkursen. Da für sehr lange Zeiträume nur schwache bivariate Zusammenhänge feststellbar sind, wird die (begrenzte) Informationsmenge der Marktteilnehmer durch abschnittsweise Teilmengen des Untersuchungszeitraums (1974 - 1995)...

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...

This article analyses value changes of German stock market companies in response to movements of the US dollar. The approach followed in this work extends the standard means of measuring exchange rate exposure in several ways (e.g. by using multi-factor modelling instead of augmented CAPM,...