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

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  • Entorf, Horst

Abstract

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.

Suggested Citation

  • Entorf, Horst, 1999. "Der deutsche Aktienmarkt, der Dollar und der Aussenhandel: Eine ökonometrische Analyse," W.E.P. - Würzburg Economic Papers 4, University of Würzburg, Department of Economics.
    • Handle: RePEc:zbw:wuewep:4
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    1. Entorf Horst & Jamin Gösta, 2007. "German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs," German Economic Review, De Gruyter, vol. 8(3), pages 344-374, August.

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