Regime-dependent drivers of the EUR/CHF exchange rate

Swiss Journal of Economics and Statistics

Table 3 OLS regression results for the financial crisis period (January 2008–August 2011)

	Financial crisis period (January 2008–August 2011)
	Dependent variable: EUR/CHF
	(1)	(2)	(3)	(4)	(5)
Constant	− 0.859***	− 0.859***	− 0.859***	− 0.859***	− 0.859***
	(0.004)	(0.002)	(0.001)	(0.0002)	(0.0001)
CHFEUR10y2y				0.408**	0.322**
				(0.021)	(0.035)
				VIF = 2.477	VIF = 2.569
CHFUSD10y2y	− 0.544***	− 0.561***	− 0.608***	− 0.920***	− 0.984***
	(0.001)	(0.001)	(0.004)	(0.004)	(0.001)
		VIF = 1.002	VIF = 1.008	VIF = 2.452	VIF = 2.503
DAX			− 0.918***	− 0.919**	− 0.937***
			(0.009)	(0.012)	(0.008)
			VIF = 2.072	VIF = 2.072	VIF = 2.076
VSMI		− 0.355**	− 1.016***	− 1.082***	− 1.125***
		(0.038)	(0.00003)	(0.0003)	(0.001)
		VIF = 1.002	VIF = 2.077	VIF = 2.141	VIF = 2.164
EURUSD1m					− 0.319
					(0.101)
					VIF = 1.262
Observations	43	43	43	43	43
Mallows’s \(C_p\)	− 0.85	− 0.49	− 3.79	− 2.67	− 1.73
Selected model			X
\(R^{2}\)	0.092	0.131	0.257	0.278	0.303
Adjusted \(R^{2}\)	0.070	0.087	0.200	0.202	0.209

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 (3) minimizes Mallows’s \(C_p\)
*\(p<0.1\); **\(p<0.05\); ***\(p<0.01\)