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Der deutsche Aktienmarkt, der Dollar und der Aussenhandel: Eine ökonometrische Analyse


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  • Entorf, Horst


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) erfaßt. Mit Hilfe der Methode Rollender Regressionen werden Richtung und Ausmaß der instabilen Aktienkurs-Wechselkurs-Beziehung untersucht. Es zeigt sich, daß diese in robuster und kointegrierter Weise mit den jeweiligen Export- und Importanteilen Deutschlands verknüpft ist. Ferner gibt es Anzeichen dafür, daß die Außenhandelssensitivität des Zusammenhangs seit 1991 größer geworden ist. -- 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 magnitude of the relationship depend on Germany´s export and import shares in a robut and cointegrated way. Moreover, the relationship seems to be more sensitive to foreign trade after 1991.

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Paper provided by University of Würzburg, Chair for Monetary Policy and International Economics in its series W.E.P. - Würzburg Economic Papers with number 4.

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Date of creation: 1999
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Handle: RePEc:zbw:wuewep:4

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