Table 7.

Net directional connectedness of high-low yielding currency groups and FX G10 carry trade return.

$${NC}_t^j={\alpha }_0+{\alpha }_1\bullet {TA}_t^{US}+{\alpha }_2\bullet {VIX}_t+{\alpha }_3\bullet {FXCTF10}_t+e_t$$

	(1) $N{C}_t^{High}$	(2) $N{C}_t^{Low}$
Constant	−14.88*** (1.00)	21.09*** (1.19)
${TA}^{US}$	0.65*** (0.19)	−2.01*** (0.22)
VIX	0.73*** (0.03)	−0.73*** (0.04)
FXCTG10	1.02*** (0.34)	−1.20*** (0.40)
A. R2	0.49	0.49

Note: This table reports the estimation of two linear models for average value of the net directional connectedness for high- and low-yielding currency groups (${NC}_t^j$).