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TABLE 4 JPY/USD: Exchange Rate Responses to Changes in The Federal Funds Target Rate | ||||
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Daily Data: 27 March 1989 to 4 April 2001_________________________________________________________ | ||||
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Model 1A________ |
Model 1B______ |
Model 2A |
Model 2B_______ | |
|
^C |
-0.0000 (0.0011)___________ |
-0.0004 (0.0010)_________ |
-0.0005 (0.0010)_________ |
-0.0000 (0.0009)___________ |
|
FFT-EXPECTED |
0.0001 (0.0045)____________ |
0.0014 (0.0042)_________ | ||
|
Fft-Unexpected |
0.0135 (0.0084)____________ |
0.0126* (0.0073)_________ | ||
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FFT-ACTUAL |
0.0039 (0.0033)_________ |
0.0048 | ||
|
CPI-UNEXP |
-0.0098 (0.0553)____________ |
-0.0178 (0.0553)_________ | ||
|
IP-UNEXP |
0.0157 (0.0141)____________ |
-0.0167 (0.0142)_________ | ||
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PPI-UNEXP |
-0.0367* (0.0192)____________ |
-0.0389** (0.0185)_________ |
-0.0422** (0.0188)_________ |
-0.0430** (0.0182)___________ |
|
TRDE-UNEXP |
-0.0004 (0.0037)____________ |
0.0007 (0.0036)_________ | ||
|
UNEM-UNEXP |
0.0110 (0.0137)____________ |
0.0057 (0.0131)_________ | ||
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Observations__________ |
42 |
42 |
42 |
42 |
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R-squared____________ |
0.26_______________ |
0.22_____________ |
0.23______________ |
0.19______________ |
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S.E. of regression______ |
0.0011_____________ |
0.0012__________ |
0.0012__________ |
0.0012___________ |
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F-Statistic________________ |
1.7470_____________ |
3.5780**________ |
1.7569__________ |
4.6799**_________ |
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NOTES: (a) * Denotes significance at 90%, ** Denotes significance at 95%, *** Denotes significance at 99%. (b) Standard Errors in ( ) below the point estimates. (c) Estimations are defined in Equations (1) and (2) in the text. (d) The dependent variable is the first difference of the log of the daily JPY/USD spot exchange rate. (e) The independent variables FFT-EXPECTED and FFT-UNEXPECTED measure the expected and the unexpected element, (f) The control variables measure the surprise element of US macroeconomic announcements concerning CPI (CPI-UNEXP), | ||||
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