TY  - UNPD
A1  - Kaltenhäuser, Bernd
T1  - Explaining the Dollar-Euro rate : do stock market returns matter?
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2001,06
N2  - This paper investigates how US and European equity markets affected the US dollar-euro rate from the introduction of the euro through April 2001. More detailed the following questions are raised: First, do movements in the stock market help to explain movements in the exchange rate? Second, how large is the impact of stock market returns on the exchange rate? And third, does the exchange rate respond differently to different equity markets? The investigation was carried out using daily data within a vector-autoregression model (VAR). Surprisingly, positive returns on US equities as well as on European stock markets had a negative impact on the US dollar-euro rate. Quantitatively, the US dollar-euro rate seems to be more influenced by European stock markets compared to US stock markets. Further, there is evidence for a somewhat weaker impact of technology stock indices on the US dollar-euro rate compared with broader market indices. Finally, the long-term interest rate differential seems to contain more information about exchange rate movements than the short-term interest rate differential. This Version: August, 2001. Klassifikation: C32, F31
T3  - CFS working paper series - 2001, 06 
KW  - Exchange Rates
KW  - Information Share
KW  - USA
KW  - Europäische Union
KW  - Wechselkurs
KW  - Börsenkurs
KW  - Kapitalertrag
KW  - Kapitalgewinn
KW  - Zinsparität
KW  - Aktienmarkt
KW  - Kapitalmarkteffizienz
KW  - Schätzung
KW  - Geschichte 1999-2001
Y1  - 2001
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4504
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-9831
IS  - Version: August 2001
ER  -