Table 4 Crisis vs. pre-crisis for the JPY
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: 991 | Obs: 1248 | Obs: 991 | Obs: 1248 | |||||
Dependent variable: \(\Delta fx^{c}_{t+1}\) | c= EURJPY | c= EURJPY | c= USDJPY | c = USDJPY | ||||
β k | p value | β k | p value | β k | p value | β k | p value | |
C | 0.001 | 0.835 | 0.006 | 0.142 | 0.000 | 0.881 | 0.008 | 0.030 |
\(\Delta f{x^{c}_{t}}\) | − 0.315 | 0.000 | − 0.203 | 0.016 | − 0.162 | 0.072 | − 0.349 | 0.000 |
Japanese variables | ||||||||
Machinery orders | −.054 | 0.000 | − 0.018 | 0.003 | − 0.063 | 0.000 | − 0.018 | 0.000 |
Retail sales | − 0.023 | 0.049 | − 0.003 | 0.558 | − 0.029 | 0.028 | − 0.002 | 0.689 |
Household expenditures | − 0.008 | 0.208 | − 0.010 | 0.042 | − 0.013 | 0.151 | − 0.007 | 0.119 |
Real GDP final | − 0.074 | 0.040 | 0.026 | 0.000 | − 0.073 | 0.000 | 0.024 | 0.000 |
Euro area variables | ||||||||
Business climate | 0.010 | 0.133 | 0.032 | 0.008 | 0.006 | 0.310 | 0.012 | 0.042 |
German variables | ||||||||
Retail sales | 0.030 | 0.147 | 0.032 | 0.003 | 0.008 | 0.164 | 0.015 | 0.026 |
US variables | ||||||||
Avg hourly earnings pro | 0.017 | 0.461 | 0.097 | 0.242 | 0.063 | 0.060 | 0.082 | 0.358 |
Emp.st. busin. cond. index | − 0.019 | 0.009 | 0.040 | 0.008 | 0.031 | 0.012 | 0.055 | 0.001 |
Consumer confidence | − 0.035 | 0.000 | 0.093 | 0.000 | 0.053 | 0.001 | 0.075 | 0.000 |
Phifed curr. busin. cond. | − 0.032 | 0.014 | 0.071 | 0.000 | 0.024 | 0.011 | 0.082 | 0.000 |
Employment non-farm | − 0.077 | 0.006 | 0.271 | 0.000 | 0.199 | 0.000 | 0.366 | 0.000 |
Existing home sales | 0.003 | 0.651 | 0.044 | 0.063 | 0.029 | 0.020 | 0.047 | 0.001 |
Housing starts | 0.002 | 0.732 | 0.048 | 0.002 | 0.010 | 0.239 | 0.060 | 0.049 |
Import goods and serv. | 0.035 | 0.008 | 0.020 | 0.411 | − 0.082 | 0.000 | 0.000 | 0.995 |
Industrial production | − 0.006 | 0.481 | 0.024 | 0.002 | 0.030 | 0.003 | 0.026 | 0.000 |
ISM non-manuf. | 0.044 | 0.009 | 0.073 | 0.000 | ||||
ISM manuf. | − 0.013 | 0.266 | 0.130 | 0.000 | 0.052 | 0.000 | 0.147 | 0.000 |
Comp.index leading ind. | − 0.003 | 0.569 | 0.034 | 0.012 | 0.006 | 0.286 | 0.039 | 0.000 |
New orders dur. goods | − 0.015 | 0.013 | 0.042 | 0.004 | 0.049 | 0.000 | 0.053 | 0.004 |
Productivity | 0.032 | 0.269 | 0.025 | 0.143 | 0.009 | 0.556 | 0.033 | 0.000 |
Retail sales | − 0.019 | 0.029 | 0.105 | 0.000 | 0.061 | 0.000 | 0.107 | 0.000 |
Real GDP final | − 0.015 | 0.224 | 0.046 | 0.001 | 0.021 | 0.291 | 0.061 | 0.001 |
Real GDP pre | 0.002 | 0.847 | 0.042 | 0.050 | 0.022 | 0.201 | 0.084 | 0.000 |
Unit labor costs | − 0.015 | 0.659 | 0.045 | 0.033 | 0.008 | 0.770 | 0.028 | 0.000 |
Unemployment rate | 0.007 | 0.806 | 0.090 | 0.010 | 0.109 | 0.003 | 0.117 | 0.000 |
R 2 | 0.155 | 0.286 | 0.350 | 0.395 | ||||
Adjusted R 2 | 0.131 | 0.269 | 0.332 | 0.381 | ||||
Prob(F-stat) | 0.000 | 0.000 | 0.000 | 0.000 | ||||