Table A2 Role of the market environment, daily frequency
From: Macroeconomic surprises, market environment, and safe-haven currencies
Sample: 1/01/2000 to 12/31/2013 | ||||||||
|---|---|---|---|---|---|---|---|---|
Obs: 3637; 2909 if VIXt is included | ||||||||
Dependent variable: \(\Delta fx^{c}_{t+1}\) | c = EURCHF | c= USDCHF | c= EURJPY | c= USDJPY | ||||
β k | p value | β k | p value | β k | p value | β k | p value | |
Market-environment measures | ||||||||
VIXt | 0.006 | 0.000 | 0.003 | 0.289 | 0.018 | 0.000 | 0.010 | 0.000 |
VIXt−288 | − 0.006 | 0.000 | − 0.001 | 0.470 | − 0.017 | 0.000 | − 0.010 | 0.000 |
BBt | 0.001 | 0.000 | − 0.001 | 0.571 | 0.000 | 0.819 | 0.000 | 0.351 |
BBt−288 | − 0.001 | 0.325 | − 0.001 | 0.182 | 0.000 | 0.469 | 0.001 | 0.234 |
VIXt | 0.007 | 0.000 | 0.002 | 0.216 | 0.018 | 0.000 | 0.010 | 0.000 |
VIXt−288 | − 0.007 | 0.000 | − 0.001 | 0.530 | − 0.017 | 0.000 | − 0.009 | 0.000 |
BBt | 0.001 | 0.000 | 0.000 | 0.655 | 0.001 | 0.039 | 0.000 | 0.421 |
BBt−288 | − 0.001 | 0.202 | − 0.001 | 0.199 | 0.000 | 0.812 | 0.000 | 0.641 |
ΔVIXt | 0.001 | 0.000 | 0.000 | 0.264 | 0.003 | 0.000 | 0.002 | 0.000 |
ΔBBt | 0.001 | 0.010 | 0.000 | 0.904 | 0.001 | 0.074 | 0.000 | 0.856 |
VIXt | 0.007 | 0.000 | 0.002 | 0.306 | 0.019 | 0.000 | 0.010 | 0.000 |
VIXt−288 | − 0.007 | 0.000 | 0.000 | 0.936 | − 0.018 | 0.000 | − 0.010 | 0.000 |
EN_VIXt | − 0.001 | 0.780 | 0.000 | 0.982 | 0.004 | 0.195 | 0.000 | 0.980 |
EN_VIXt−288 | 0.000 | 0.983 | 0.007 | 0.098 | − 0.008 | 0.016 | − 0.005 | 0.019 |
BBt | 0.000 | 0.335 | − 0.001 | 0.562 | 0.000 | 0.796 | 0.000 | 0.868 |
BBt−288 | 0.000 | 0.791 | − 0.001 | 0.166 | 0.000 | 0.469 | 0.000 | 0.329 |
EN_BBt | − 0.004 | 0.263 | − 0.005 | 0.479 | − 0.010 | 0.019 | − 0.001 | 0.524 |
EN_BBt−288 | 0.011 | 0.302 | − 0.003 | 0.587 | 0.007 | 0.053 | − 0.005 | 0.255 |
EP_BBt | − 0.001 | 0.445 | 0.003 | 0.463 | 0.001 | 0.474 | 0.001 | 0.084 |
EP_BBt−288 | 0.000 | 0.931 | 0.003 | 0.105 | 0.000 | 0.495 | 0.001 | 0.187 |