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Financial Innovation

Table 8 Risk premia regression results for EUR/USD

From: Upside and downside correlated jump risk premia of currency options and expected returns

Year

Maturity

Adj.\({R}^{2}\)

\(\alpha\)

\({\beta }_{1}\)

\({\beta }_{2}\)

\({\beta }_{3}\)

\({\beta }_{4}\)

Year

Maturity

Adj.\({R}^{2}\)

\(\alpha\)

\({\beta }_{1}\)

\({\beta }_{2}\)

\({\beta }_{3}\)

\({\beta }_{4}\)

2007

1 M

0.09

0.0001***

− 0.0822***

0.0001***

0.0004***

− 0.0008***

2013

1 M

0.00

0.0004***

− 0.1419***

0.0004***

0.0049***

− 0.0020***

  

(0.59)

(0.00)

(0.73)

(0.51)

(0.48)

  

(0.13)

(0.47)

(0.40)

(0.24)

(0.10)

3 M

0.51

− 0.0001***

− 0.2260***

0.0000***

− 0.0001***

0.0009***

3 M

0.02

0.0003***

− 0.3522***

0.0011***

0.0000***

0.0000***

  

(0.49)

(0.00)

(0.93)

(0.84)

(0.51)

  

(0.09)

(0.03)

(0.64)

(0.93)

(0.93)

6 M

0.83

0.0002***

− 0.4853***

− 0.0004***

0.0005***

− 0.0009***

6 M

0.13

0.0004***

− 0.5343***

0.0001***

− 0.0001***

− 0.0035***

  

(0.32)

(0.00)

(0.30)

(0.80)

(0.62)

  

(0.01)

(0.00)

(0.84)

(0.82)

(0.41)

12 M

0.95

− 0.0004***

− 0.8766***

− 0.0005***

− 0.0008***

0.0009***

12 M

0.08

0.0009***

− 0.7232***

− 0.0061***

0.0086***

− 0.0273***

  

(0.00)

(0.00)

(0.26)

(0.23)

(0.39)

  

(0.53)

(0.19)

(0.15)

(0.00)

(0.04)

2008

1 M

0.08

− 0.0006***

− 0.1158***

− 0.0004***

0.0018***

0.0107***

2014

1 M

− 0.01

0.0001***

− 0.0086***

0.0003***

− 0.0014***

0.0026***

  

(0.13)

(0.00)

(0.65)

(0.25)

(0.09)

  

(0.08)

(0.89)

(0.41)

(0.30)

(0.46)

3 M

0.31

− 0.0005***

− 0.2504***

− 0.0013***

0.0035***

0.0002***

3 M

0.07

0.0001***

− 0.2125***

− 0.0006***

0.0001***

− 0.0013***

  

(0.33)

(0.00)

(0.25)

(0.00)

(0.96)

  

(0.15)

(0.00)

(0.16)

(0.80)

(0.37)

6 M

0.50

− 0.0031***

− 0.5847***

0.0074***

− 0.0045***

0.0009***

6 M

0.26

0.0000***

− 0.5593***

0.0009***

− 0.0009***

− 0.0036***

  

(0.00)

(0.00)

(0.00)

(0.01)

(0.80)

  

(0.99)

(0.00)

(0.15)

(0.07)

(0.17)

12 M

0.64

− 0.0066***

− 1.2075***

− 0.0002***

0.0110***

− 0.0134***

12 M

0.44

− 0.0026***

− 3.2653***

− 0.0156***

− 0.0132***

− 0.0003***

  

(0.00)

(0.00)

(0.91)

(0.00)

(0.00)

  

(0.00)

(0.00)

(0.00)

(0.01)

(0.97)

2009

1 M

0.02

0.0000***

− 0.0733***

− 0.0001***

0.0017***

− 0.0027***

2015

1 M

0.03

0.0007***

− 0.2706***

0.0011***

− 0.0020***

0.0005***

  

(0.95)

(0.02)

(0.92)

(0.06)

(0.56)

  

(0.10)

(0.03)

(0.29)

(0.09)

(0.85)

3 M

0.09

− 0.0007***

− 0.3060***

− 0.0045***

0.0074***

− 0.0017***

3 M

0.06

0.0003***

− 0.4154***

0.0001***

− 0.0001***

− 0.0002***

  

(0.06)

(0.00)

(0.12)

(0.06)

(0.34)

  

(0.40)

(0.00)

(0.94)

(0.96)

(0.98)

6 M

0.21

− 0.0009***

− 0.4702***

− 0.0013***

0.0007***

0.0092***

6 M

0.22

− 0.0002***

− 0.6391***

0.0017***

− 0.0002***

0.0045***

  

(0.01)

(0.00)

(0.12)

(0.53)

(0.01)

  

(0.57)

(0.00)

(0.01)

(0.86)

(0.04)

12 M

0.09

0.0009***

− 0.7458***

− 0.0040***

0.0134***

0.0106***

12 M

0.46

− 0.0010***

− 1.6720***

0.0629***

− 0.0601***

0.0487***

  

(0.17)

(0.00)

(0.21)

(0.02)

(0.13)

  

(0.73)

(0.00)

(0.00)

(0.00)

(0.00)

2010

1 M

0.00

0.0000***

− 0.0311***

− 0.0002***

− 0.0004***

0.0053***

2016

1 M

− 0.01

0.0007***

− 0.0805***

0.0001***

0.0022***

− 0.0017***

  

(0.86)

(0.62)

(0.83)

(0.77)

(0.21)

  

(0.26)

(0.29)

(0.92)

(0.60)

(0.38)

3 M

0.00

− 0.0002***

− 0.1039***

0.0000***

0.0014***

0.0021***

3 M

0.00

− 0.0002***

− 0.0231***

− 0.0012***

0.0000***

− 0.0001***

  

(0.33)

(0.05)

(0.99)

(0.42)

(0.27)

  

(0.79)

(0.69)

(0.10)

(0.99)

(0.97)

6 M

0.05

− 0.0009***

− 0.1920***

0.0000***

0.0008***

− 0.0012***

6 M

0.07

0.0071***

− 0.8105***

0.0005***

− 0.0001***

0.0054***

  

(0.01)

(0.00)

(0.96)

(0.28)

(0.40)

  

(0.00)

(0.00)

(0.84)

(0.96)

(0.48)

12 M

0.21

− 0.0046***

− 0.6581***

0.0009***

0.0025***

0.0312***

12 M

0.18

0.0396***

− 4.0744***

0.0010***

− 0.0140***

0.0073***

  

(0.00)

(0.00)

(0.71)

(0.26)

(0.00)

  

(0.00)

(0.00)

(0.91)

(0.26)

(0.52)

2011

1 M

0.03

− 0.0005***

− 0.1130***

− 0.0002***

0.0017***

− 0.0033***

2017

1 M

− 0.01

0.0000***

− 0.0014***

0.0001***

0.0005***

− 0.0014***

  

(0.46)

(0.14)

(0.81)

(0.15)

(0.23)

  

(0.96)

(0.97)

(0.89)

(0.79)

(0.79)

3 M

0.11

− 0.0021***

− 0.3506***

− 0.0017***

0.0014***

− 0.0011***

3 M

0.00

− 0.0016***

0.0558***

− 0.0004***

− 0.0003***

0.0017***

  

(0.00)

(0.00)

(0.04)

(0.26)

(0.42)

  

(0.11)

(0.34)

(0.60)

(0.78)

(0.10)

6 M

0.39

− 0.0071***

− 1.0330***

0.0033***

− 0.0003***

0.0117***

6 M

0.02

− 0.0017***

0.0970***

− 0.0017***

− 0.0155***

0.0070***

  

(0.00)

(0.00)

(0.00)

(0.82)

(0.00)

  

(0.83)

(0.83)

(0.68)

(0.01)

(0.41)

12 M

0.31

0.0100***

0.0615***

0.0220***

0.0026***

− 0.0314***

12 M

0.35

− 0.3021***

15.4227***

− 0.0274***

− 0.0222***

− 0.0509***

  

(0.00)

(0.82)

(0.00)

(0.55)

(0.00)

  

(0.00)

(0.00)

(0.02)

(0.32)

(0.02)

2012

1 M

− 0.01

− 0.0001***

− 0.0163***

− 0.0007***

− 0.0004***

− 0.0022***

2018

1 M

0.20

0.0051***

− 0.2499***

0.0005***

− 0.0022***

− 0.0079***

 

(0.52)

(0.71)

(0.20)

(0.64)

(0.50)

  

(0.00)

(0.00)

(0.47)

(0.10)

(0.01)

3 M

0.01

− 0.0005***

− 0.0726***

0.0008***

− 0.0007***

0.0024***

3 M

0.33

0.0176***

− 0.8007***

0.0007***

0.0015***

− 0.0073***

 

(0.00)

(0.03)

(0.18)

(0.63)

(0.54)

  

(0.00)

(0.00)

(0.57)

(0.33)

(0.00)

6 M

0.09

− 0.0013***

− 0.1153***

− 0.0015***

0.0010***

− 0.0034***

6 M

0.13

0.0311***

− 1.4204***

0.0221***

0.0031***

− 0.0451***

 

(0.00)

(0.00)

(0.01)

(0.11)

(0.00)

  

(0.00)

(0.00)

(0.02)

(0.49)

(0.00)

12 M

0.04

− 0.0019***

0.3377***

0.0163***

0.0073***

0.0021***

12 M

0.58

0.3508***

− 10.5717***

− 0.0005***

0.1834***

− 0.0038***

 

(0.05)

(0.11)

(0.01)

(0.10)

(0.72)

  

(0.00)

(0.00)

(0.97)

(0.00)

(0.89)

  1. This table lists the results of the regressions for EUR/USD. The values in parentheses are the p-values of the coefficients. In the expression of significance, “***” means the coefficient is significant at \(p<0.01\), “**” means the coefficient is significant at \(p<0.05\), and “*” means the coefficient is significant at \(p<0.10\)
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