Skip to main content

Table 7 Surprises and policy regime

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