Apr

28

2011

Research progress: SDR

Posted by Vitalie Ciubotaru

Used CHF as numeraire, moved SDR into the list of potential anchors and added GBP “just-in-case”. Nothing new :-(

Model 1: OLS, using observations 2006/04/28-2010/11/30 (T = 1198)
Dependent variable: ld_MDL_CHF
  coefficient std. error t-ratio p-value
const 5.56533e-05 7.06126e-05 0.7881 0.4308
ld_USD_CHF 0.998224 0.0400118 24.95 7.63e-111
ld_EUR_CHF 0.0125580 0.0382948 0.3279 0.7430
ld_RUR_CHF −0.00824548 0.016888 9−0.4882 0.6255
ld_ROL_CHF −0.00543005 0.0144471 −0.3759 0.7071
ld_UAH_CHF 0.00605681 0.00537992 1.126 0.2605
ld_GBP_CHF 0.00828530 0.0134577 0.6157 0.5382
ld_SDR_CHF −0.0438197 0.0713788 −0.6139 0.5394

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