Table 4 Zero-stage regression: exchange rate returns

\(r^{*}_{f,t+1}-r_{f,t+1}\)

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