| Dependent variable: |
---|
REER_CHF |
---|
(1) | (2) | (3) | (4) |
---|
Constant | − 0.033 | 0.676*** | − 0.140 | − 0.041 |
| (0.695) | (0.004) | (0.133) | (0.710) |
FCI | | | | − 0.449*** |
| | | | (0.00001) |
CHFEUR1m | | | | 0.208*** |
| | | | (0.000) |
CHFUSD1m | | | 0.150*** | |
| | | (0.005) | |
CHFUSD10y2y | | 0.440** | − 0.201* | |
| | (0.020) | (0.076) | |
EURUSD1m | | 0.500*** | | |
| | (0.003) | | |
DAX | − 0.286*** | | | |
| (0.004) | | | |
SMI | | | 0.223*** | 0.717*** |
| | | (0.005) | (0.00000) |
VDAX | | | | 0.566*** |
| | | | (0.003) |
VSMI | − 0.203** | | | |
| (0.020) | | | |
Observations | 93 | 43 | 38 | 67 |
\(R^{2}\) | 0.047 | 0.098 | 0.250 | 0.392 |
Adjusted \(R^{2}\) | 0.025 | 0.053 | 0.183 | 0.353 |
- In this table, we show results from regressing the real effective exchange rate (REER) onto an incremental number of variables that are selected by the multicollinearity-aware forward selection described in Sect. 2. p values (in parenthesis) and corresponding significance stars are based on Newey–West adjusted standard errors with 5 lags which were determined based on a full-sample analysis. We additionally take into account variance inflation factors shown underneath each variable to account for multicollinearity. We also show Mallows’s \(C_p\) (ultimate model selection criterion) in each table
- *\(p<0.1\); **\(p<0.05\); ***\(p<0.01\)