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Table 4 Zero-stage regression: exchange rate returns

From: The Swiss franc safety premium

  USD Index CHF Index EUR/CHF
et+1 All All T<1999 T≥1999 All T<1999 T≥1999
\(r^{*}_{f,t+1}-r_{f,t+1}\) 0.147 5.447*** 5.118*** 7.750*** 2.910* 2.419* 6.102*
  [0.820] [1.326] [1.848] [2.818] [1.507] [1.365] [3.503]
e t 0.137*** −0.113 0.060 −0.249** −0.110* 0.008 −0.187***
  [0.049] [0.087] [0.066] [0.103] [0.062] [0.081] [0.068]
Cons 0.001 −0.010*** −0.010** −0.012*** −0.006*** −0.006* −0.010**
  [0.001] [0.002] [0.004] [0.004] [0.002] [0.003] [0.004]
R2 0.019 0.054 0.062 0.089 0.028 0.018 0.055
  1. Notes: This table reports the results of regressing the exchange rate return on the interest rate differential and the lagged equity return (see Eq. (7)). The parameters are estimated by OLS using Newey-West standard errors with maximum lag order set equal to T1/2. The number of observations is 259 for the full sample, 107 for the first subsample and 152 for the second subsample. The standard errors are reported in square brackets
  2. ***, **, * denote significance levels of 1, 5, and 10%, respectively