Post-peg period (February 2015–December 2020) | |||||
---|---|---|---|---|---|
Dependent variable: EUR/CHF | |||||
(1) | (2) | (3) | (4) | (5) | |
Constant | 0.025 | 0.025 | 0.025 | 0.025 | 0.025 |
(0.851) | (0.854) | (0.847) | (0.840) | (0.823) | |
FCI | 0.427*** | 0.457*** | 0.511*** | 0.516*** | 0.543*** |
(0.00002) | (0.00000) | (0.00000) | (0.00000) | (0.00000) | |
VIF = 1.081 | VIF = 1.082 | VIF = 1.099 | |||
EURUSD1m | − 0.180* | − 0.262* | |||
(0.090) | (0.085) | ||||
VIF = 1.100 | VIF = 1.258 | ||||
EURUSD30y | 0.241 | ||||
(0.189) | |||||
VIF = 1.376 | |||||
CHFEUR30y | − 0.240** | − 0.224** | − 0.129 | ||
(0.012) | (0.019) | (0.340) | |||
VIF = 1.162 | VIF = 1.169 | VIF = 1.387 | |||
SMI | − 0.206* | − 0.285*** | − 0.333*** | − 0.300*** | |
(0.076) | (0.008) | (0.002) | (0.002) | ||
VIF = 1.151 | VIF = 1.228 | VIF = 1.254 | |||
Observations | 70 | 70 | 70 | 70 | 70 |
Mallows’s \(C_p\) | − 9.39 | − 10.20 | − 11.56 | − 11.56 | − 12.42 |
Selected model | X | ||||
\(R^{2}\) | 0.180 | 0.220 | 0.269 | 0.298 | 0.339 |
Adjusted \(R^{2}\) | 0.167 | 0.197 | 0.236 | 0.255 | 0.288 |