| \(Corr(r_{t+1}^{\omega }, \triangle e_{t+1})\) | \(Corr(r_{t+1}^{\omega }, \triangle e_{t+1})\) | \(Corr(r_{t+1}^{\omega }, \triangle e_{t+1})\) |
---|---|---|---|
 |  | for \(r_{t+1}^{\omega } < \bar {r}\) | for \(r_{t+1}^{\omega } \geq \bar {r}\) |
USD Index | Â | Â | Â |
all | 0.18*** | 0.16* | 0.23*** |
CHF Index | Â | Â | Â |
all | 0.32*** | 0.23** | −0.02 |
T<1999 | 0.25** | 0.44*** | 0.03 |
T≥1999 | 0.37*** | 0.13 | 0.15 |
EUR/CHF | Â | Â | Â |
all | 0.27*** | 0.24** | −0.09 |
T<1999 | 0.13 | 0.46*** | −0.03 |
T≥1999 | 0.38*** | 0.17 | 0.12 |