Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

Table 12

Threshold model estimations.

	Euro/USD		Japanese yen/USD
	Regime 1	Regime 2	Regime 1	Regime 2
	0.2443710 (0.8167169)	−0.1849082 (0.8932050)	−1.371777 (0.119426)	−1.389924 (0.203891)
	1.190002 (2.183613)	−0.292207 (1.63636)	0.014266 (0.030913)	−0.010649 (0.036219)
	1.533665 (1.808895)	0.06692503 (2.560614)	0.826844 (0.640419)	0.613519 (4.002981)
	0.159589 (0.771334)	0.0206816 (0.149416)	(0.001691)	0.002338 (0.008586)

Notes: the exchange rate change is calculated as and the corresponding contemporaneous monetary fundamentals are constructed as (see texts for detailed explanations); figures not in parenthesis are the coefficient estimates; figures in the parenthesis are the test statistics for the coefficient significance tests.