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Die Wirkung von Wechselkursvolatilitäten auf das Investitionsverhalten

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Werner, T. Die Wirkung von Wechselkursvolatilitäten auf das Investitionsverhalten. . Eine theoretische und empirische Analyse aus der Perspektive der Realoptionstheorie. Credit and Capital Markets – Kredit und Kapital, 34(1), 1-27. https://doi.org/10.3790/ccm.34.1.1
Werner, Thomas "Die Wirkung von Wechselkursvolatilitäten auf das Investitionsverhalten. Eine theoretische und empirische Analyse aus der Perspektive der Realoptionstheorie. " Credit and Capital Markets – Kredit und Kapital 34.1, 2001, 1-27. https://doi.org/10.3790/ccm.34.1.1
Werner, Thomas (2001): Die Wirkung von Wechselkursvolatilitäten auf das Investitionsverhalten, in: Credit and Capital Markets – Kredit und Kapital, vol. 34, iss. 1, 1-27, [online] https://doi.org/10.3790/ccm.34.1.1

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Die Wirkung von Wechselkursvolatilitäten auf das Investitionsverhalten

Eine theoretische und empirische Analyse aus der Perspektive der Realoptionstheorie

Werner, Thomas

Credit and Capital Markets – Kredit und Kapital, Vol. 34 (2001), Iss. 1 : pp. 1–27

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Thomas Werner, Frankfurt/Main

References

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Abstract

The Effects of Exchange-Rate Volatilities on Investment Behaviour

A Theoretical and Empirical Analysis from the Perspective of the Real Options Theory

In the theoretical part of this contribution a model has been developed for analysing the effects of exchange-rate volatilities on investment behaviour. This model is based on the theory of real options. Exchange-rate volatilities produce uncertain profit expectations and attach some value to the option to still wait with taking the respective investment decision. A Monte-Carlo simulation shows that the greater the exchange-rate volatility, the longer the average period for which the optimum investment decision is delayed. Strong exchange-rate volatilities may therefore result in temporary decreases in the investment volume. In the empirical part of this contribution, a model has been built for the exchange-rate fluctuations of the dollar against the D-mark with the help of the GARCH approach. For the investments in the Federal Republic of Germany, an error correction model has been estimated. It is demonstrated that the negative effect of the D-mark/dollar rate volatilities on investments is significant.