Dollar-Renminbi (CNY) (1991Q1-2007Q1)

Bank Size

Smallest 75th

75th - 90th

90th - 95th

95th - 99th

Top 1%

DLog(EX.RATE)

Lag 1

0.00012

(0.985)

−0.0820

(0.108)

0.03474

(0.806)

−0.1664

(0.449)

−0.1679

(0.713)

Lag 2

−0.00260

(0.676)

−0.01629

(0.753)

−0.03206

(0.821)

−0.1971

(0.377)

0.1217

(0.791)

Lag 3

−0.00847

(0.167)

0.1036^**

(0.042)

−0.04124

(0.768)

0.3066

(0.169)

0.1844

(0.683)

Lag 4

0.00439

(0.492)

−0.1158^**

(0.029)

−0.10483

(0.471)

−0.2079

(0.370)

1.0518^**

(0.024)

SDLog(EX.RATE)

(p-value F-stat)

−0.0066

(0.596)

−0.1105

(0.283)

−0.1434

(0.613)

−0.2649

(0.554)

1.1900

(0.193)