Dance with the Dollar: Exchange Rate Exposure of German Stock Returns

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