Risikoprämien an Devisenmärkten: Ökonometrische Analyse Moderner Wechselkurstheorien
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F�r den �konomen ist es selbstverst�ndlich, die Entwicklung von Wechselkursen wie anderer Finanzmarktdaten t�glich zu verfolgen, wenngleich sie h�ufig unverst�ndlich erscheinen und damit der Finanzpresse Raum geben f�r mitunter abenteuerliche Interpretationen von betr�chtlichem Unterhaltungswert. Die wissenschaftliche Forschung auf diesem Gebiet hat zu einer gro en Zahl theoretischer Ans�tze gef�hrt, die sich teils erg�nzen, teils widersprechen. Was die Frage der empirischen Bew�hrung angeht, so kann man nicht daran vorbeisehen, da wir von einer zufriedenstelIenden Erkl�rung insbesondere der k�rzerfristigen Bewegungen von Wechselkursen noch weit entfernt sind. Die vorliegende Arbeit von Dr. Schmidt ist dem besonderen Problem des Einflusses zeitvariabler Risikopr�mien gewidmet. Das Verst�ndnis des Ph�momens der Risikopr�mie ist zentral f�r eine Kl�rung der k�rzerfristigen Zusammmenh�nge, die die t�glichen und monatlichen Wechselkurs fluktuationen bestimmen. Als Ausgangspunkt der f�r den D-Mark/Dollar-Kurs gef�hrten Untersuchung dient der Nachweis, da die von der Theorie der Kaufkraftparit�t implizierte Stationarit�t des realen Wechselkurses nicht abgelehnt werden kann. Dabei bedeutet Stationarit�t, da Kursabweichungen von einem durch Transaktionskosten des internationalen Handels bestimmten Kursband keinen Bestand haben. F�r die ModelIierung des Einflusses von Risikopr�mien auf solche Kursabweichungen bedarf es der Formulierung eines Portfoliomodells, das die Risikoaversion ins Spiel bringt. F�r einen gegebenen Grad relativer Risikoaversion l� t sich dann die Risikopr�mie darstellen als eine Funktion des zwischen den W�hrungen bestehenden Inflationsrisikos, des realen Wechselkursrisikos und des relativen Volumens voninl�ndischer zu ausl�ndischer Staatsverschuldung. VII Im Wege nicht-linearer Sch�tzungen gelingt es Dr.
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