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


  • 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.

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, Chair for Monetary Policy and International Economics.
  • Handle: RePEc:zbw:wuewep:4

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    References listed on IDEAS

    1. Baye, Michael R. & Morgan, John, 1999. "A folk theorem for one-shot Bertrand games," Economics Letters, Elsevier, vol. 65(1), pages 59-65, October.
    2. Harrington, Joseph Jr., 1989. "A re-evaluation of perfect competition as the solution to the Bertrand price game," Mathematical Social Sciences, Elsevier, vol. 17(3), pages 315-328, June.
    3. Todd R. Kaplan & David Wettstein, 2000. "The possibility of mixed-strategy equilibria with constant-returns-to-scale technology under Bertrand competition," Spanish Economic Review, Springer;Spanish Economic Association, vol. 2(1), pages 65-71.
    4. David M. Kreps & Jose A. Scheinkman, 1983. "Quantity Precommitment and Bertrand Competition Yield Cournot Outcomes," Bell Journal of Economics, The RAND Corporation, vol. 14(2), pages 326-337, Autumn.
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