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Table 5 First-stage regression

From: The Swiss franc safety premium

  USD Index CHF Index EUR/CHF
\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)\) All All T<1999 T≥1999 All T<1999 T≥1999
dp t 0.001 0.000 −0.000 0.001** 0.000 −0.000 0.001**
  [0.000] [0.000] [0.001] [0.000] [0.000] [0.001] [0.000]
\(r_{t}^{\omega }\) −0.004* −0.000 0.001 −0.002 −0.001 0.001 −0.004*
  [0.002] [0.001] [0.001] [0.001] [0.001] [0.001] [0.002]
\({var}_{t}^{{\prime }e}\) 0.005 −0.046 −0.097 −0.177** 0.026 −0.092 −0.077
  [0.057] [0.062] [0.118] [0.084] [0.070] [0.114] [0.105]
\({var}_{t}^{{\prime }r}\) 0.016 −0.005 0.003 −0.016 −0.011 −0.006 −0.016
  [0.031] [0.009] [0.011] [0.015] [0.009] [0.013] [0.018]
\({cov}_{t}^{\prime }\) 0.061* −0.071 −0.166** 0.034 −0.054 −0.133* −0.025
  [0.033] [0.053] [0.068] [0.061] [0.057] [0.080] [0.074]
Cons 0.003 0.001 −0.001 0.003** 0.001 −0.001 0.004**
  [0.002] [0.001] [0.002] [0.001] [0.001] [0.002] [0.002]
R 2 0.088 0.021 0.092 0.082 0.023 0.093 0.104
F-statistic 12.08 2.231 4.285 2.447 1.660 7.478 2.947
χ2-statistic 60.400 11.155 21.425 12.235 8.300 37.390 14.735
p value (χ2-stat.) 0.000 0.048 0.001 0.032 0.140 0.000 0.012
  1. Notes: This table reports the results of the first stage regression, which regresses the ex-post covariance obtained from the zero stage regressions on a set of instruments (see Eq. (8)). This set of instruments Z t consists of a constant, the dividend-price ratio, the lagged equity return, plus a measure for the lagged equity return variance, exchange rate return variance, and their covariance. The parameters are estimated by OLS using Newey-West standard errors with maximum lag order set equal to T1/2. The F-statistic and the Wald χ2 test (plus the p value for the Wald χ2 test) are reported for the null hypothesis that all coefficients, except the constant, are jointly zero. 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