From: Macroeconomic surprises, market environment, and safe-haven currencies
Floor sample: 09/07/2011 to 12/31/2013 | ||||
Obs: 454 | Obs: 454 | |||
Dependent variable: \(\Delta fx^{c}_{t+1}\) | c= EURCHF | c= USDCHF | ||
β k | p value | β k | p value | |
C | − 0.002 | 0.370 | − 0.013 | 0.086 |
\(\Delta f{x^{c}_{t}}\) | − 0.091 | 0.361 | − 0.382 | 0.013 |
APP_St | 0.009 | 0.011 | 0.033 | 0.006 |
DEP_St | 0.016 | 0.000 | 0.061 | 0.000 |
R 2 | 0.094 | 0.182 | ||
Adjusted R 2 | 0.088 | 0.176 | ||
Abe sample: 12/01/2012 to 12/31/2013 | ||||
Obs: 205 | Obs: 205 | |||
Dependent variable: \(\Delta fx^{c}_{t+1}\) | c= EURJPY | c = USDJPY | ||
β k | p value | β k | p value | |
C | − 0.006 | 0.529 | − 0.005 | 0.717 |
\(\Delta f{x^{c}_{t}}\) | − 0.152 | 0.629 | 0.385 | 0.280 |
APP_St | 0.032 | 0.022 | 0.070 | 0.002 |
DEP_St | 0.040 | 0.009 | 0.057 | 0.005 |
R 2 | 0.096 | 0.196 | ||
Adjusted R 2 | 0.082 | 0.184 |