UK-US Dollar (1991Q1-2007Q1)

Bank Size

Smallest 75th

75th - 90th

90th - 95th

95th - 99th

Top 1%

DLog(EX.RATE)

Lag 1

−0.02160^**

(0.029)

−0.2992^***

(0.000)

−0.7663^***

(0.001)

−0.8055^**

(0.023)

0.1529

(0.831)

Lag 2

−0.01064

(0.282)

0.0358

(0.662)

0.1715

(0.449)

−0.2030

(0.569)

−1.3657^*

(0.059)

Lag 3

−0.00755

(0.415)

−0.0602

(0.431)

0.1515

(0.443)

−0.2043

(0.537)

0.1697

(0.804)

Lag 4

−0.01554^*

(0.075)

−0.0501

(0.486)

−0.5010^**

(0.012)

−0.5924^*

(0.059)

−1.061^*

(0.099)

SDLog(EX.RATE)

(p-value F-stat)

−0.0553^***

(0.002)

−0.0501^**

(0.011)

−0.9444^**

(0.019)

−1.8052^*** (0.004)

−2.1038

(0.107)