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Table 6 OLS regression results for the post-peg period (February 2015–December 2020)

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

 

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

  1. 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 models in columns (3) and (4) minimize Mallows’s \(C_p\), the tie is broken in favor of the sparser model
  2. *\(p<0.1\); **\(p<0.05\); ***\(p<0.01\)