Regime-dependent drivers of the EUR/CHF exchange rate

Swiss Journal of Economics and Statistics

Table 2 OLS regression results for the pre-crisis period (January 2000–November 2007)

	Pre-crisis period (January 2000–November 2007)
	Dependent variable: EUR/CHF
	(1)	(2)	(3)
Constant	0.027	0.027	0.027
	(0.765)	(0.762)	(0.753)
CHFUSD1m		− 0.150*	− 0.170*
		(0.093)	(0.068)
		VIF = 1.015	VIF = 1.062
DAX	0.106*	0.124**	0.263***
	(0.056)	(0.014)	(0.004)
		VIF = 1.015	VIF = 3.297
SMI			− 0.166**
			(0.017)
			VIF = 3.247
Observations	93	93	93
Mallows’s \(C_p\)	1.16	− 0.48	0.12
Selected model		X
\(R^{2}\)	0.020	0.060	0.075
Adjusted \(R^{2}\)	0.009	0.039	0.044

In this table, we show results from regressing the EUR/CHF exchange rate onto an increasing set \(\mathcal{J}_0\) of variables that are determined by the stepwise forward selection method described in Sect. 2.1. p values (in parentheses) and corresponding significance stars are based on Newey–West adjusted standard errors with 6 lags, where the lag order was determined based on a full-sample analysis. Variance inflation factors are shown underneath each variable to indicate potential multicollinearity. The selected model in column (2) minimizes Mallows’s \(C_p\)
*\(p<0.1\); **\(p<0.05\); ***\(p<0.01\)