Table 8.
Foreign exchange markets – robustness checks (1): rates of return on national currencies against the euro.
| 1-day window |
3-day window |
6-day window |
|||||
|---|---|---|---|---|---|---|---|
| Country | Variable | Basic model | Rates of return on CZK/EUR, HUF/EUR, PLN/EUR | Basic model | Rates of return on CZK/EUR, HUF/EUR, PLN/EUR | Basic model | Rates of return on CZK/EUR, HUF/EUR, PLN/EUR |
| Czechia | dom_MP_rate | −0.007*** (0.002) |
−0.005*** (0.002) |
−0.005*** (0.002) |
−0.003*** (0.001) |
−0.004*** (0.001) |
−0.003*** (0.001) |
| ECB_liquidity | – | – | – | – | 0.004* (0.002) |
– | |
| Hungary | dom_MP_liquidity | – | – | 0.004*** (0.001) |
0.003** (0.001) |
– | – |
| dom_FP_core | – | – | −0.005** (0.003) |
– | −0.005*** (0.002) |
−0.003* (0.002) |
|
| ECB_liquidity | 0.005*** (0.001) |
0.003* (0.002) |
0.005*** (0.001) |
0.003* (0.002) |
0.002** (0.001) |
0.001* (0.000) |
|
| Poland | dom_MP_liquidity | 0.017*** (0.004) |
0.015*** (0.004) |
– | – | – | – |
| dom_MP_rate | – | – | −0.009* (0.005) |
−0.010** (0.004) |
−0.007* (0.004) |
−0.008** (0.004) |
|
| EU_FP_RRF | 0.003** (0.001) |
0.002* (0.001) |
0.002** (0.001) |
0.002** (0.001) |
– | – | |
Notes: Standard errors in parentheses; *,**,*** denote significance at the 0.1, 0.05 and 0.01 level of significance, respectively; the symbol ‘−’ denotes statistical insignificance.