Macroeconomic surprises, market environment, and safe-haven currencies

Swiss Journal of Economics and Statistics

Table 5 Asymmetries

Pre-crisis sample: 1/01/2000 to 07/31/2007
	Obs: 1051		Obs: 1051		Obs: 991		Obs: 991
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
C	− 0.001	0.605	− 0.007	0.178	0.002	0.653	0.005	0.283
\(\Delta f{x^{c}_{t}}\)	− 0.141	0.009	− 0.346	0.088	− 0.262	0.002	− 0.054	0.679
APP_S_t	0.008	0.000	0.056	0.000	− 0.003	0.558	0.047	0.000
DEP_S_t	0.006	0.000	0.063	0.000	− 0.003	0.699	0.030	0.000
R ²	0.073		0.174		0.017		0.133
Adjusted R ²	0.071		0.171		0.014		0.130
Crisis sample: 8/01/2007 to 12/31/2013
	Obs: 1337		Obs: 1337		Obs: 1248		Obs: 1248
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
C	0.004	0.227	− 0.001	0.906	0.009	0.228	0.009	0.182
\(\Delta f{x^{c}_{t}}\)	− 0.108	0.131	− 0.283	0.009	− 0.172	0.059	− 0.254	0.031
APP_S_t	0.034	0.000	0.048	0.000	0.053	0.000	0.060	0.000
DEP_S_t	0.021	0.000	0.039	0.000	0.044	0.000	0.055	0.000
R ²	0.137		0.129		0.126		0.159
Adjusted R ²	0.135		0.128		0.124		0.157