Monetäre Effekte auf die Bewertung des deutschen Aktienmarktes
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Monetäre Effekte auf die Bewertung des deutschen Aktienmarktes
Jandura, Dirk | Rehkugler, Heinz
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 1 : pp. 24–59
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Dirk Jandura, Freiburg i.Br.
Heinz Rehkugler, Freiburg i.Br.
References
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Abstract
Monetary Impact on the Valuation of the German Stock Market
In this paper an econometric model has been developed for the purpose of fundamental valuation of the German stock market on the basis of cointegration analysis. As the estimated model shows phases of fundamental deviation from fair value, extreme in dimension and duration, the divergencies have been analysed and checked with regard to whether these would be traceable to monetary influences. To quantify these influences, an indicator of excess liquidity has been developed. With the help of extended empirical and statistical tests, it has been shown that the national as well as the international (G5) cycle of liquidity have a significant impact on the valuation of stock market movements and that up to 20% of the German stock market deviation from fair value are traceable to monetary influences.