Table 8.
Difference-in-differences analysis for net directional connectedness of high- and low-yielding currency groups around federal fund target rate adjustment day.
| Panel A: Net directional connectedness of high- and low-yielding currency groups before and after adjusted to low-level day [(-20, +20) trading days] | ||||||
|---|---|---|---|---|---|---|
| (A.1) Adjustment from 1.25 to 0.25 [2020. 03. 13] |
(A.2) Adjustment from 1.75 to 1.25 [2020. 03. 02] |
|||||
| High Yield |
Low Yield |
Diff = High- Low | High Yield |
Low Yield |
Diff = High- Low | |
| Before Adj. | −3.00 | 3.08 | −6.08*** (-5.33) |
−5.33 | 4.62 | −9.95*** (-21.96) |
| After Adj. | 30.24 | −38.06 | 68.30*** (22.18) |
14.33 | −18.71 | 33.04*** (5.45) |
| Diff = After -Before |
33.24*** (15.58) |
−41.14*** (-16.47) |
74.38*** (16.48) |
19.66*** (5.48) |
−23.33*** (-4.76) |
42.99*** (5.08) |
| (A.3) Adjustment from 2 to 1.75 [2019. 10. 29] |
(A.4) Adjustment from 2.25 to 2 [2019. 09. 17] |
|||||
| High Yield |
Low Yield |
Diff = High- Low |
High Yield |
Low Yield |
Diff = High- Low |
|
| Before Adj. | −2.64 | 1.86 | −4.50*** (-8.73) |
−2.43 | 7.28 | −9.71*** (-21.08) |
| After Adj. | −3.99 | 1.49 | −5.48*** (-15.16) |
−3.75 | 4.87 | −8.62*** (-12.08) |
| Diff = After -Before |
−1.35*** (-3.09) |
−0.37 (-0.81) |
−0.98 (-1.14) |
−1.32*** (-3.91) |
−2.41*** (-3.83) |
1.09*** (2.80) |
| (A.5) Adjustment from 2.5 to 2.25 [2019. 07. 30] |
||||||
| High Yield |
Low Yield |
Diff = High- Low |
||||
| Before Adj. | −3.75 | 4.71 | −8.46*** (12.96) |
|||
| After Adj. | −1.00 | 3.12 | −4.12*** (-7.72) |
|||
| Diff = After -Before |
2.75*** (7.32) |
−1.59 (-1.51) |
4.34*** (3.98) |
|||
| Panel B: Net directional connectedness of high- and low-yielding currency groups before and after adjusted to high-level day [(-20, +20) trading days] | ||||||
| (B.1) Adjustment from 2.25 to 2.5 [2018. 12. 18] |
(B.2) Adjustment from 2 to 2.25 [2018. 09. 25] |
|||||
| High Yield |
Low Yield |
Diff = High- Low | High Yield |
Low Yield |
Diff = High- Low | |
| Before Adj. | −1.01 | 0.78 | −1.79** (-3.75) |
−3.89 | 0.75 | −4.64*** (-21.71) |
| After Adj. | −2.08 | 4.36 | −6.44*** (-29.85) |
−4.03 | 1.72 | −5.75*** (-33.17) |
| Diff = After -Before |
−1.07*** (-5.26) |
3.58*** (7.39) |
−4.65*** (-7.02) |
−0.14 (-0.56) |
0.97*** (5.82) |
−1.11*** (-3.26) |
| (B.3) Adjustment from 1.75 to 2 [2018. 06. 12] |
||||||
| High Yield |
Low Yield |
Diff = High- Low |
||||
| Before Adj. | −3.59 | 0.62 | −4.21*** (-15.81) |
|||
| After Adj. | −2.72 | 2.29 | −5.01*** (-13.60) |
|||
| Diff = After -Before | 0.87** (2.67) |
1.67*** (2.89) |
−0.80 (0.40) |
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Notes: This table reports the average values of daily net directional connectedness for high- and low-yielding currency groups from 20 days before the U.S. federal fund target interest rate adjustment implementation to 20 days after. The dates of target interest rate adjustment are in brackets. The t-statistics in parentheses for the Diff category test the null hypotheses that the differences in before-after interest rate adjustment and high-low yielding groups are equal to 0. ∗∗∗, ∗∗, and ∗ indicate significance at the 1%, 5%, and 10% levels, respectively.