TABLE 4 JPY/USD: Exchange Rate Responses to Changes in The Federal Funds Target Rate | ||||
Daily Data: 27 March 1989 to 4 April 2001_________________________________________________________ | ||||
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)_________ | ||
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)_________ | ||
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)_________ | ||
Observations__________ |
42 |
42 |
42 |
42 |
R-squared____________ |
0.26_______________ |
0.22_____________ |
0.23______________ |
0.19______________ |
S.E. of regression______ |
0.0011_____________ |
0.0012__________ |
0.0012__________ |
0.0012___________ |
F-Statistic________________ |
1.7470_____________ |
3.5780**________ |
1.7569__________ |
4.6799**_________ |
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), |
25
More intriguing information
1. Conditions for learning: partnerships for engaging secondary pupils with contemporary art.2. Income Growth and Mobility of Rural Households in Kenya: Role of Education and Historical Patterns in Poverty Reduction
3. Picture recognition in animals and humans
4. A parametric approach to the estimation of cointegration vectors in panel data
5. Cryothermal Energy Ablation Of Cardiac Arrhythmias 2005: State Of The Art
6. The name is absent
7. Needing to be ‘in the know’: strategies of subordination used by 10-11 year old school boys
8. Political Rents, Promotion Incentives, and Support for a Non-Democratic Regime
9. Education Responses to Climate Change and Quality: Two Parts of the Same Agenda?
10. Stable Distributions