Table 6 Non-linearity

Sample: 1/01/2000 to 07/31/2007

Obs: 1173

Obs: 1163

Obs: 671

Obs: 669

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

0.631

− 0.010

0.408

0.010

0.389

− 0.019

0.165

\(\Delta f{x^{c}_{t}}\)

− 0.060

0.409

0.044

0.833

− 0.396

0.004

− 0.199

0.509

APP_S_t

0.020

0.000

0.072

0.002

− 0.001

0.945

0.003

0.860

SQR(APP_S_t)

0.005

0.000

0.010

0.143

0.001

0.629

− 0.016

0.000

Obs: 1087

Obs: 1097

Obs: 623

Obs: 618

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

0.555

− 0.008

0.513

− 0.002

0.834

− 0.019

0.165

\(\Delta f{x^{c}_{t}}\)

− 0.205

0.024

− 0.698

0.023

− 0.273

0.158

− 0.377

0.072

DEP_S_t

0.008

0.068

0.081

0.000

− 0.024

0.301

0.087

0.001

SQR(DEP_S_t)

− 0.001

0.360

− 0.009

0.203

0.007

0.563

− 0.001

0.153

Crisis sample: 8/01/2007 to 12/31/2013

Obs: 682

Obs: 679

Obs: 397

Obs: 395

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

0.006

0.299

0.007

0.403

0.045

0.016

0.046

0.021

\(\Delta f{x^{c}_{t}}\)

− 0.065

0.574

− 0.340

0.041

− 0.240

0.131

− 0.440

0.028

APP_S_t

0.034

0.013

0.068

0.000

0.159

0.000

0.184

0.000

SQR(APP_S_t)

0.000

0.928

0.007

0.251

0.030

0.003

0.035

0.000

Obs: 611

Obs: 614

Obs: 357

Obs: 352

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

− 0.007

0.103

− 0.019

0.030

0.034

0.076

0.033

0.075

\(\Delta f{x^{c}_{t}}\)

− 0.180

0.022

− 0.270

0.060

− 0.139

0.434

− 0.215

0.346

DEP_S_t

0.043

0.000

0.087

0.000

0.015

0.618

0.044

0.143

SQR(DEP_S_t)

− 0.007

0.029

− 0.018

0.000

0.008

0.275

0.002

0.805