Table 8 Role of the market environment
From: Macroeconomic surprises, market environment, and safe-haven currencies
Sample: 1/01/2000 to 12/31/2013 | ||||||||
|---|---|---|---|---|---|---|---|---|
Obs: 1,472,832; 1,051,776 if VIXt is included | ||||||||
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 | |
Market-environment measures | ||||||||
VIXt | 0.002 | 0.000 | 0.000 | 0.924 | 0.006 | 0.000 | 0.003 | 0.000 |
VIXt−288 | − 0.002 | 0.000 | 0.000 | 0.772 | − 0.006 | 0.000 | − 0.003 | 0.000 |
BBt | 0.000 | 0.001 | 0.000 | 0.113 | 0.000 | 0.484 | 0.000 | 0.132 |
BBt−288 | 0.000 | 0.272 | 0.000 | 0.802 | 0.000 | 0.715 | 0.000 | 0.181 |
VIXt | 0.003 | 0.000 | 0.001 | 0.745 | 0.006 | 0.000 | 0.004 | 0.000 |
VIXt−288 | − 0.003 | 0.000 | 0.000 | 0.647 | − 0.006 | 0.000 | − 0.003 | 0.000 |
BBt | 0.000 | 0.000 | 0.000 | 0.130 | 0.000 | 0.000 | 0.000 | 0.000 |
BBt−288 | 0.000 | 0.009 | 0.000 | 0.620 | 0.000 | 0.263 | 0.000 | 0.004 |
ΔVIXt | 0.001 | 0.000 | 0.000 | 0.690 | 0.001 | 0.000 | 0.001 | 0.000 |
ΔBBt | 0.000 | 0.000 | 0.000 | 0.200 | 0.000 | 0.020 | 0.000 | 0.000 |
VIXt | 0.003 | 0.000 | 0.000 | 0.890 | 0.006 | 0.000 | 0.004 | 0.000 |
VIXt−288 | − 0.003 | 0.000 | 0.000 | 0.988 | − 0.006 | 0.000 | − 0.004 | 0.000 |
EN_VIXt | 0.000 | 0.856 | 0.001 | 0.177 | − 0.002 | 0.024 | − 0.001 | 0.054 |
EN_VIXt−288 | 0.000 | 0.990 | − 0.001 | 0.205 | 0.002 | 0.013 | 0.001 | 0.091 |
BBt | 0.000 | 0.000 | 0.000 | 0.013 | 0.000 | 0.183 | 0.000 | 0.044 |
BBt−288 | 0.000 | 0.006 | 0.000 | 0.039 | 0.000 | 0.543 | 0.000 | 0.001 |
EN_BBt | 0.000 | 0.073 | − 0.001 | 0.016 | 0.002 | 0.001 | 0.001 | 0.017 |
EN_BBt−288 | 0.000 | 0.820 | 0.001 | 0.028 | − 0.001 | 0.478 | 0.000 | 0.758 |
EP_BBt | 0.000 | 0.075 | 0.000 | 0.725 | 0.000 | 0.713 | 0.000 | 0.227 |
EP_BBt−288 | 0.000 | 0.150 | 0.001 | 0.030 | 0.000 | 0.995 | 0.000 | 0.105 |