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Swiss Journal of Economics and Statistics

Table 4 OLS regression results for the peg period (October 2011–December 2014)

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

 

Peg period (October 2011–December 2014)

Dependent variable: EUR/CHF

(1)

(2)

(3)

(4)

Constant

− 0.060

− 0.060

− 0.060

− 0.060

 

(0.455)

(0.446)

(0.491)

(0.446)

CHFEUR1m

− 0.114***

− 0.089**

 

− 0.081**

 

(0.009)

(0.025)

 

(0.024)

  

VIF = 1.049

 

VIF = − 3.315

CHFEUR10y2y

 

0.118

  
  

(0.165)

  
  

VIF = 1.049

  

VSMI

  

0.150

0.129

   

(0.212)

(0.264)

   

VIF = 0.705

VIF = 0.489

Observations

38

38

38

38

Mallows’s Cp

1.44

1.85

0.31

1.57

Selected model

X

   

\(R^{2}\)

0.042

0.085

0.073

0.093

Adjusted \(R^{2}\)

0.016

0.033

0.047

0.041

  1. Columns (1) and (2) 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 (1) minimizes Mallows’s \(C_p\). Due to the fact that alternative variable selection methods choose VSMI as the first variable, columns (3) and (4) show for comparison results from a two-step selection using VSMI (rather than CHFEUR1m) as the first chosen variable
  2. *\(p<0.1\); **\(p<0.05\); ***\(p<0.01\)
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