Macroeconomic surprises, market environment, and safe-haven currencies

Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio

doi:10.1186/s41937-019-0031-9

Swiss Journal of Economics and Statistics

Table A1 Other currencies

From: Macroeconomic surprises, market environment, and safe-haven currencies

Sample: 1/01/2000 to 12/31/2013
	Obs: 2236		Obs: 2521		Obs: 2495		Obs: 2613		Obs: 2519
Dependent variable: \(\Delta fx^{c}_{t+1}\)	c= EURAUD		c= USDAUD		c= EURGBP		c= USDGBP		c= USDCAD
	β _k	p	β _k	p	β _k	p	β _k	p	β _k	p
Euro area variables
Business climate	0.003	0.640	0.010	0.060	− 0.008	0.040	− 0.002	0.740	0.003	0.560
German variables
Real GDP	− 0.001	0.870	0.001	0.940	0.000	0.860	− 0.004	0.670	0.001	0.870
IFO business climate	− 0.003	0.470	0.005	0.300	− 0.007	0.090	0.001	0.770	0.008	0.010
Retail sales	− 0.001	0.760	− 0.007	0.160	0.003	0.520	− 0.002	0.740	− 0.001	0.910
Zew indicator	0.000	0.980	0.003	0.490	− 0.005	0.140	− 0.002	0.580	0.001	0.810
US variables
Avg hourly earnings all	− 0.012	0.230	− 0.019	0.050	0.002	0.740	− 0.006	0.490	− 0.017	0.050
Avg hourly earnings pro	− 0.012	0.070	− 0.007	0.350	0.005	0.240	0.009	0.160	0.004	0.500
Emp.st. busin. cond. index	0.000	1.000	− 0.001	0.910	− 0.002	0.540	− 0.002	0.830	− 0.009	0.150
Consumer confidence	0.001	0.830	− 0.002	0.740	0.006	0.080	0.003	0.620	− 0.006	0.270
Phifed curr. busin. cond.	− 0.003	0.580	0.002	0.820	− 0.007	0.170	− 0.003	0.630	− 0.012	0.240
Employment non-farm	0.013	0.080	0.009	0.360	0.011	0.020	0.005	0.530	0.001	0.920
Existing home sales	− 0.011	0.010	− 0.013	0.050	0.008	0.050	0.002	0.580	− 0.002	0.740
Housing starts	− 0.004	0.330	0.000	0.960	− 0.004	0.160	− 0.001	0.900	− 0.007	0.140
Import goods and serv.	0.011	0.080	0.005	0.400	0.001	0.810	v0.003	0.560	0.003	0.670
Industrial production	− 0.020	0.140	− 0.021	0.200	0.000	0.900	− 0.002	0.700	− 0.006	0.310
ISM non-manuf.	− 0.003	0.550	− 0.004	0.600	− 0.003	0.650	− 0.003	0.590	− 0.007	0.580
ISM manuf.	− 0.002	0.700	− 0.006	0.120	− 0.004	0.360	− 0.005	0.280	− 0.007	0.240
Comp.index leading ind.	0.002	0.740	0.016	0.070	− 0.004	0.130	0.008	0.090	0.013	0.050
New home sales	0.016	0.020	− 0.011	0.130	0.002	0.590	− 0.001	0.760	0.006	0.220
New orders dur. goods	0.002	0.710	− 0.004	0.560	0.001	0.700	− 0.004	0.320	− 0.003	0.540
Productivity	0.011	0.300	− 0.009	0.600	− 0.016	0.120	− 0.029	0.010	− 0.009	0.460
Retail sales	− 0.006	0.290	− 0.004	0.620	0.004	0.420	0.004	0.500	− 0.005	0.430
Real GDP pre	0.004	0.450	0.006	0.450	0.000	0.930	0.000	0.960	0.003	0.630
Real GDP adv	0.002	0.850	0.010	0.430	− 0.005	0.210	0.003	0.640	− 0.009	0.330
Real GDP final	0.001	0.910	− 0.008	0.340	0.010	0.060	0.003	0.700	0.006	0.540
Unit labor costs	0.010	0.080	− 0.016	0.010	0.017	0.000	− 0.009	0.020	− 0.017	0.000
Unemployment rate	0.003	0.610	0.109	0.500	0.001	0.790	0.001	0.830	0.008	0.180

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