Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis

The current international integration of financial markets provides a channel for currency depreciation to affect stock prices. Moreover, the recent financial crisis in Asia with its accompanying exchange rate volatility affords a case study to examine that channel. This paper applies a bivariate GARCH-M model of the reduced form of stock market returns to investigate empirically the effects of daily currency depreciation on stock market returns for five newly emerging East Asian stock markets during the Asian financial crisis. The evidence shows that the conditional variances of stock market returns and depreciation rates exhibit time-varying characteristics for all countries. Domestic currency depreciation and its uncertainty adversely affects stock market returns across countries. The significant effects of foreign exchange market events on stock market returns suggest that international fund managers who invest in the newly emerging East Asian stock markets must evaluate the value and stability of the domestic currency as a part of their stock market investment decisions.

Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience

This paper explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in NAFTA (i.e., Canada, Mexico, and the US). Our examination of interactions of the NAFTA stock markets considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques. Second, we evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, we explore the volatility transmission process between the three markets, using a variety of multivariate GARCH models. Our results also exhibit significant volatility transmission between the second moments of the NAFTA stock markets, albeit not homogenous. The magnitude and trend of the conditional correlations indicate that in the last few years, the Mexican stock market exhibited a tendency toward increased integration with the US market. Finally, we do note that evidence exists that the Peso and Asian financial crises as well as the stock-market crash in the US affect the return and volatility time-series relationships.

Consumption Asymmetry and the Stock Market: Further Evidence

This paper investigates the presence of asymmetric effects of stock returns on real consumption in the US. After identifying the asymmetric behavior for consumption as well as the wealth effect, the results confirm that stock returns have an asymmetric effect on real consumption, with negative 'news' affecting consumption more than positive 'news'.

Synagoge Brzozdowce: Grundriß [Illustration] : Erster Stock

Scan von Monochrom-Mikroform

Hans Stock: Das Erbe des Kapitäns [Rezension]

L. M.

Felix Mendelssohn's Wohnung 1. Stock.

Signatur des Originals: S 36/F05385

Herbert Stock, Brustbild

Signatur des Originals: S 36/F06672

Herbert Stock, Rollenbild

Signatur des Originals: S 36/F06673

Hydrogeological investigations in the upper Ouémé catchment in Benin, West Africa

The scope of this PhD thesis was the hydrogeological conceptualisation of the Upper Ouémé river catchment in Benin. The study area exceeds 14,500 km**2 and is underlain by a crystalline basement. At this setting the typical sequence of aquifers - a regolith aquifer at the top and a fractured bedrock aquifer at the bottom - is encountered, which is found in basement areas all over Africa and elsewhere in the world. The chosen regional approach revealed important information about the hydrochemistry and hydrogeology of this catchment. Based on the regional conceptual model a numerical groundwater flow model was designed. The numerical model was used to estimate the impact of climate change on the regional groundwater resources. This study was realised within the framework of the German interdisciplinary research project IMPETUS (English translation: "Integrated approach to the efficient management of scarce water resources in West Africa"), which is jointly managed by the German universities of Bonn and Cologne. Since the year 2000 the Upper Ouémé catchment was the principal target for investigations into the relevant processes of the regional water cycle. A first study from 2000 to 2003 (Fass, 2004, http://nbn-resolving.de/urn:nbn:de:hbz:5n-03849) focused on the hydrogeology of a small local catchment (~30 km**2). In the course of this thesis five field campaigns were underdone from the year 2004 to 2006. In the beginning of 2004 a groundwater monitoring net was installed based on 12 automatic data loggers. Manual piezometric measurements and the sampling of groundwater and surface water were realised for each campaign throughout the whole study area. Water samples were analysed for major ions, for a choice of heavy metals and for their composition by deuterium, oxygen-18 and tritium. The numerical model was performed with FEFLOW. The hydraulic and hydrochemical characteristics were described for the regolith aquifer and the bedrock aquifer. The regolith aquifer plays the role of the groundwater stock with low conductivity while the fractures of the bedrock may conduct water relatively fast towards extraction points. Flow in fractures of the bedrock depends on the connectivity of the fracture network which might be of local to subregional importance. Stable isotopes in combination with hydrochemistry proved that recharge occurs on catchment scale and exclusively by precipitation. Influx of groundwater from distant areas along dominant structures like the Kandi fault or from the Atacora mountain chain is excluded. The analysis of tritium in groundwater from different depths revealed the interesting fact of the strongly rising groundwater ages. Bedrock groundwater may possibly be much older than 50 years. Equilibrium phases of the silicate weathering products kaolinite and montmorillonite showed that the deeper part of the regolith aquifer and the bedrock aquifer feature either stagnant or less mobile groundwater while the shallow aquifer level is influenced by seasonal groundwater table fluctuations. The hydrochemical data characterised this zone by the progressive change of the hydrochemical facies of recently infiltrated rainwater on its flow path into deeper parts of the aquifers. Surprisingly it was found out that seasonal influences on groundwater hydrochemistry are minor, mainly because they affect only the groundwater levels close to the surface. The transfer of the hydrogeological features of the Upper Ouémé catchment into a regional numerical model demanded a strong simplification. Groundwater tables are a reprint of the general surface morphology. Pumping or other types of groundwater extraction would have only very local impact on the available groundwater resources. It was possible to integrate IMPETUS scenario data into the groundwater model. As a result it was shown that the impact of climate change on the groundwater resources until the year 2025 under the given conditions will be negligible due to the little share of precipitation needed for recharge and the low water needs for domestic use. Reason for concern is the groundwater quality on water points in the vicinity of settlements because of contamination by human activities as shown for the village of Dogué. Nitrate concentrations achieved in many places already alerting levels. Health risks from fluoride or heavy metals were excluded for the Upper Ouémé area.