Skip to main content

Table 6 Network centrality and currency excess return under the different foreign exchange regimes

From: Sovereign default network and currency risk premia

 

(1)

(2)

(3)

(4)

(5)

Dependent variable: currency excess return (floating)

 Constant × 10−3

− 4.589 (4.197)

− 1.851 (1.779)

− 0.949 (0.650)

− 1.332*** (0.262)

− 0.721*** (0.762)

 Centrality × 10−3

2.651 (5.734)

− 1.960 (4.192)

− 395.036*** (126.563)

− 0.019*** (0.005)

− 4.968* (2.631)

 Centrality × COVID19

0.016*** (0.002)

0.021*** (0.004)

2.647*** (0.362)

0.036*** (0.003)

0.005 (0.005)

 Country FE

Yes

Yes

Yes

Yes

Yes

 No. of obs

3627

3627

3627

3627

3627

 Adj. R2 within

0.009

0.006

0.012

0.002

0.002

Dependent variable: currency excess return (non-floating)

 Constant × 10−3

− 0.088 (0.098)

− 0.001 (0.499)

− 1.497* (0.751)

− 0.188*** (0.187)

− 0.292 (0.191)

 Centrality × 10−3

− 1.981 (1.371)

− 1.924 (1.215)

− 507.558** (181.453)

− 0.012** (0.004)

− 0.026 (0.99)

 Centrality × COVID19

0.013*** (0.004)

0.015** (0.005)

2.051*** (0.591)

0.095*** (0.022)

0.024 (0.097)

 Country FE

Yes

Yes

Yes

Yes

Yes

 No. of obs

1170

1170

1170

1170

1170

 Adj. R2 within

0.014

0.007

0.020

0.011

0.000

  1. From column 1–5 the network centrality denote in-strength, out-strength, closeness, betweenness, and eigenvector centrality, respectively. The numbers in italic denotes its value should time 10−3. The Huber-White heteroskedasticity-robust standard errors adjusted for country clustering are provided in parentheses. ***, **, * indicate significance at the 1%, 5%, 10% levels