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Table 10 Optimal OLS regression results across all subperiods

From: Regime-dependent drivers of the EUR/CHF exchange rate

 

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

  1. 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
  2. *\(p<0.1\); **\(p<0.05\); ***\(p<0.01\)