Table 2 Full-sample estimates for the JPY
From: Macroeconomic surprises, market environment, and safe-haven currencies
Sample: 1/01/2000 to 12/31/2013 | ||||||
|---|---|---|---|---|---|---|
Observations: 2239 | Observations: 2239 | |||||
Dependent variable: \(\Delta fx^{c}_{t+1}\) | c= EURJPY | c= USDJPY | ||||
β k | Std. error | p value | β k | Std. error | p value | |
C | 0.002 | 0.003 | 0.379 | 0.004 | 0.002 | 0.076 |
\(\Delta f{x^{c}_{t}}\) | − 0.162 | 0.072 | 0.024 | − 0.285 | 0.069 | 0.000 |
Japanese variables | ||||||
Machinery orders | − 0.029 | 0.005 | 0.000 | − 0.031 | 0.005 | 0.000 |
Retail sales | − 0.008 | 0.005 | 0.097 | − 0.008 | 0.004 | 0.057 |
Household expenditure | − 0.009 | 0.004 | 0.021 | − 0.008 | 0.004 | 0.052 |
Real GDP final | 0.022 | 0.006 | 0.000 | 0.020 | 0.005 | 0.000 |
Euro area variables | ||||||
Business climate | 0.022 | 0.007 | 0.002 | 0.009 | 0.004 | 0.031 |
German variables | ||||||
Retail sales | 0.029 | 0.014 | 0.042 | 0.011 | 0.004 | 0.012 |
US variables | ||||||
Avg hourly earnings pro | 0.048 | 0.028 | 0.092 | 0.080 | 0.035 | 0.024 |
Emp.et. busin. cond. index | 0.019 | 0.010 | 0.066 | 0.046 | 0.012 | 0.000 |
Consumer confidence | 0.049 | 0.016 | 0.002 | 0.067 | 0.011 | 0.000 |
Phifed curr. busin. cond. | 0.044 | 0.011 | 0.000 | 0.066 | 0.010 | 0.000 |
Employment non-farm | 0.095 | 0.037 | 0.010 | 0.286 | 0.031 | 0.000 |
Existing home sales | 0.029 | 0.014 | 0.034 | 0.041 | 0.010 | 0.000 |
Housing starts | 0.016 | 0.006 | 0.004 | 0.024 | 0.010 | 0.011 |
Import goods and serv. | 0.03 | 0.012 | 0.017 | − 0.054 | 0.017 | 0.001 |
Industrial production | 0.016 | 0.006 | 0.012 | 0.026 | 0.006 | 0.000 |
ISM non-manuf. | 0.044 | 0.017 | 0.009 | 0.073 | 0.018 | 0.000 |
ISM manuf. | 0.063 | 0.017 | 0.000 | 0.103 | 0.013 | 0.000 |
Comp.index leading ind. | 0.021 | 0.010 | 0.031 | 0.028 | 0.007 | 0.000 |
New orders dur. goods | 0.017 | 0.009 | 0.064 | 0.052 | 0.011 | 0.000 |
Productivity | 0.026 | 0.015 | 0.079 | 0.028 | 0.006 | 0.000 |
Retail sales | 0.060 | 0.016 | 0.000 | 0.09 | 0.014 | 0.000 |
Real GDP final | 0.032 | 0.011 | 0.005 | 0.049 | 0.015 | 0.001 |
Real GDP pre | 0.031 | 0.016 | 0.050 | 0.066 | 0.014 | 0.000 |
Unit labor costs | 0.041 | 0.021 | 0.052 | 0.025 | 0.004 | 0.000 |
Unemployment rate | 0.070 | 0.028 | 0.012 | 0.109 | 0.025 | 0.000 |
R 2 | 0.107 | 0.345 | ||||
Adjusted R 2 | 0.096 | 0.336 | ||||
Prob(F-stat) | 0.000 | 0.000 | ||||