
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

Fstatistic

12.08

2.231

4.285

2.447

1.660

7.478

2.947

χ^{2}statistic

60.400

11.155

21.425

12.235

8.300

37.390

14.735

p value (χ^{2}stat.)

0.000

0.048

0.001

0.032

0.140

0.000

0.012

 Notes: This table reports the results of the first stage regression, which regresses the expost 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 dividendprice 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 NeweyWest standard errors with maximum lag order set equal to T^{1/2}. The Fstatistic and the Wald χ^{2} test (plus the p value for the Wald χ^{2} 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
 ***, **, * denote significance levels of 1, 5, and 10%, respectively