Table 7.

Role of economic circumstances: COVID-19 pandemic period.

Dependent variables	[1]	[2]	[3]	[4]
	EXC	EXC	EXC	EXC
ri, t	0.001	−0.000	−0.001	0.000
	(0.377)	(−0.092)	(−0.473)	(0.302)
ui, t	−0.005*	−0.005*	−0.006	−0.006**
	(−1.798)	(−1.871)	(−1.244)	(−2.053)
si, t	−0.001	−0.001	−0.003	−0.001
	(−0.414)	(−0.173)	(−0.645)	(−0.347)
si, t × ui, t	−0.047	−0.040	−0.081*	0.079
	(−1.626)	(−1.325)	(−1.649)	(0.782)
Xi, t1	−0.002
	(−1.306)
Xi, t1 × si, t × ui, t	−0.101
	(−1.242)
Xi, t2		−0.000
		(−0.195)
Xi, t2 × si, t × ui, t		−0.124
		(−1.489)
Xi, t3			−0.000
			(−0.208)
Xi, t3 × si, t × ui, t			0.054
			(0.463)
Xi, t4				−0.000
				(−0.920)
Xi, t4 × si, t × ui, t				−0.015
				(−1.488)
c	−0.000	−0.000	−0.001	0.001
	(−0.491)	(−0.122)	(−0.654)	(0.558)
R2	0.160	0.151	0.134	0.161
Obs.	111	111	111	111
Number of countries	24	24	24	24

Note: This table reports the results from the regressions of the model (6), that is, the effects of changes in policy rates (r_{i, t}), unconventional monetary policy announcements (u_{i, t}), the severity of COVID-19 (s_{i, t}), the circumstance variables (X_{i, t}^k, k=1,2,3) and their interaction terms (s_{i, t} × r_{i, t}, s_{i, t} × u_{i, t}, X_{i, t}^k × s_{i, t} × r_{i, t} and X_{i, t}^k × s_{i, t} × u_{i, t}) on the changes in exchange rates (EXC) and the growth rates of CDS spreads (CDS). In Eqs. (1), (2), (3) with the changes in exchange rates as the dependent variables, multicollinearity exits between the severity of COVID-19 pandemic, unconventional monetary policy announcements and circumstance variables. For this reason, these variables are decentered. The estimation is based on the sample of only COVID-19 pandemic period, i.e., January 22, 2020 - April 30, 2020. Coefficient estimates are obtained by the OLS method. t-statistics in parentheses and ***/ **/* denote the significance at 99%, 95% and 90% confidence levels, respectively.