Macroeconomic surprises, market environment, and safe-haven currencies

Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio

doi:10.1186/s41937-019-0031-9

Swiss Journal of Economics and Statistics

Table 3 Crisis vs. pre-crisis for the CHF

From: Macroeconomic surprises, market environment, and safe-haven currencies

Pre-crisis sample: 1/01/2000 to 7/31/2007; crisis sample: 8/01/2007 to 12/31/2013
	Pre-crisis		Crisis		Pre-crisis		Crisis
	Obs: 1051		Obs: 1337		Obs: 1051		Obs: 1337
Dependent variable: \(\Delta fx^{c}_{t+1}\)	c = EURCHF		c= EURCHF		c= USDCHF		c= USDCHF
	β _k	p value	β _k	p value	β _k	p value	β _k	p value
C	− 0.001	0.100	− 0.002	0.418	0.001	0.733	− 0.003	0.364
\(\Delta f{x^{c}_{t}}\)	− 0.155	0.008	− 0.117	0.105	− 0.484	0.001	− 0.285	0.006
Swiss variables
Retail sales	0.007	0.040	− 0.021	0.016	− 0.030	0.000	− 0.018	0.095
KOF barometer	− 0.044	0.007	− 0.010	0.056	− 0.050	0.008	− 0.015	0.061
PMI	− 0.003	0.483	− 0.028	0.000	− 0.005	0.358	− 0.025	0.001
Real GDP	− 0.060	0.000	− 0.024	0.034	− 0.063	0.000	− 0.019	0.111
German variables
Real GDP	0.009	0.034	0.025	0.000	− 0.017	0.207	− 0.040	0.000
IFO business climate	0.010	0.000	0.018	0.003	− 0.077	0.000	− 0.054	0.000
Retail sales	0.002	0.400	0.007	0.054	− 0.022	0.045	− 0.010	0.121
Zew indicator	0.005	0.035	0.020	0.001	− 0.028	0.006	− 0.036	0.000
US variables
Avg hourly earnings all			0.052	0.090			0.092	0.021
Emp.st. busin. cond. index	0.004	0.083	0.017	0.020	0.050	0.000	0.026	0.053
Consumer confidence	0.007	0.023	0.028	0.000	0.094	0.000	0.007	0.521
Phifed curr. busin.cond.	0.000	0.961	0.035	0.005	0.061	0.001	0.049	0.000
Employment non-farm	0.016	0.025	0.090	0.001	0.292	0.000	0.188	0.000
Housing starts	0.004	0.028	0.029	0.001	0.012	0.226	0.035	0.180
Industrial production	0.003	0.274	0.016	0.016	0.043	0.002	0.015	0.131
ISM non-manuf.			0.027	0.044			0.056	0.002
ISM manuf.	0.005	0.046	0.08	0.002	0.074	0.000	0.092	0.000
New home sales	0.011	0.000	0.027	0.094	0.037	0.000	0.038	0.248
New orders dur. goods	0.004	0.321	0.019	0.019	0.069	0.000	0.027	0.079
Real GDP adv	0.013	0.038	0.050	0.015	0.232	0.000	0.108	0.003
Real GDP final	− 0.001	0.879	0.019	0.017	0.037	0.175	0.027	0.123
Unemployment rate	0.005	0.490	0.035	0.013	0.099	0.046	0.067	0.034
R ²	0.205		0.209		0.407		0.224
Adjusted R ²	0.188		0.194		0.394		0.209
Prob(F-stat)	0.000		0.000		0.000		0.000

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