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German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs

机译：德国DAX和总水平的汇率敞口，国际贸易以及汇率调整成本的作用

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This article analyses value changes of German stock market companies in response to movements of the US dollar. The approach followed in this work extends the standard means of measuring exchange rate exposure in several ways, e.g. by using multifactor modelling instead of augmented Capital Asset Pricing Model, application of moving window panel regressions and orthogonalization of overall market risk vis-a-vis currency risk. A further innovation lies in testing the theoretical implications of exchange rate adjustment costs (hedging costs) for firm values and economic exposure. Based on time series and panel data of German Deutsche Aktien Xchange companies, Deutsche Mark/dollar rates and macroeconomic factors, we find a rather unstable, time-variant exposure of German stock market companies. Dollar sensitivity is positively affected by the ratio of exports/gross domestic product (GDP) and negatively affected by imports/GDP. Moreover, as expected from theoretical findings, firm values and exchange rate exposure are significantly reduced by adjustment costs depending on the distance of the exchange rate from the expected long-run mean.
机译：本文分析了德国股票市场公司响应美元走势的价值变化。这项工作中采用的方法以几种方式扩展了衡量汇率风险的标准方法，例如通过使用多因素建模而不是增强的资本资产定价模型，应用移动窗口面板回归和整体市场风险相对于货币风险的正交化。进一步的创新在于测试汇率调整成本（对冲成本）对公司价值和经济敞口的理论影响。根据德国Deutsche Aktien Xchange公司的时间序列和面板数据，德国马克/美元汇率和宏观经济因素，我们发现德国股票市场公司存在相当不稳定的时变风险。美元敏感性受到出口/国内生产总值（GDP）的比率的正面影响，而受到进口/ GDP的负面影响。而且，正如理论发现所预期的那样，根据汇率与预期长期均值之间的距离，通过调整成本可以显着降低公司价值和汇率敞口。

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