Macroeconomic surprises, market environment, and safe-haven currencies

Swiss Journal of Economics and Statistics

Table 1 Full-sample estimates for the CHF

Sample: 1/01/2000 to 12/31/2013
	Observations: 2388			Observations: 2388
Dependent variable: \(\Delta fx^{c}_{t+1}\)	c = EURCHF			c = USDCHF
	β _k	Std. error	p value	β _k	Std. error	p value
C	− 0.002	0.001	0.215	− 0.001	0.002	0.555
\(\Delta f{x^{c}_{t}}\)	− 0.095	0.062	0.123	− 0.347	0.091	0.000
Swiss variables
Retail sales	− 0.014	0.008	0.064	− 0.021	0.009	0.025
KOF barometer	− 0.023	0.006	0.000	− 0.030	0.008	0.000
PMI	− 0.022	0.004	0.000	− 0.020	0.006	0.001
Real GDP	− 0.030	0.011	0.004	− 0.027	0.012	0.025
German variables
Real GDP	0.021	0.005	0.000	− 0.035	0.009	0.000
IFO business climate	0.014	0.004	0.000	− 0.063	0.011	0.000
Retail sales	0.003	0.002	0.083	− 0.018	0.008	0.020
ZEW indicator	0.013	0.003	0.000	− 0.032	0.007	0.000
US variables
Avg hourly earnings all	0.054	0.032	0.092	0.089	0.037	0.018
Emp.st. busin. cond. index	0.013	0.005	0.009	0.035	0.010	0.001
Consumer confidence	0.021	0.004	0.000	0.036	0.011	0.001
Phifed curr. busin. cond.	0.026	0.010	0.010	0.052	0.011	0.000
Employment non-farm	0.052	0.015	0.001	0.241	0.039	0.000
Housing starts	0.012	0.003	0.000	0.020	0.010	0.051
Industrial production	0.012	0.005	0.012	0.022	0.009	0.013
ISM non-manuf.	0.027	0.009	0.004	0.056	0.019	0.003
ISM manuf.	0.045	0.015	0.003	0.083	0.015	0.000
New home sales	0.013	0.004	0.001	0.041	0.009	0.000
New orders dur. goods	0.012	0.005	0.008	0.045	0.012	0.000
Real GDP adv	0.033	0.012	0.006	0.163	0.033	0.000
Real GDP final	0.014	0.006	0.021	0.028	0.016	0.070
Unemployment rate	0.030	0.011	0.009	0.074	0.027	0.006
R ²	0.152			0.291
Adjusted R ²	0.143			0.284
Prob(F-stat)	0.000			0.000