Euro-US Dollar (1999Q1-2007Q1)

Bank Size

Smallest 75th

75th - 90th

90th - 95th

95th - 99th

Top 1%

DLog(EX.RATE)

Lag 1

0.1132^***

(0.000)

0.6430^***

(0.001)

−0.2671

(0.540)

0.6538

(0.456)

−2.2637

(0363)

Lag 2

−0.0340^*

(0.070)

−0.1163

(0.506)

0.2693

(0.478)

−1.4877^*

(0.052)

−0.9472

(0.663)

Lag 3

−0.0653^***

(0.000)

−0.44377

(0.005)

−0.1435

(0.677)

−1.1760^*

(0.085)

−0.5227

(0.790)

Lag 4

−0.0996^***

(0.000)

−0.58251

(0.001)

0.3253

(0.379)

1.5933^**

(0.032)

−1.2566

(0.548)

SDLog(EX.RATE)

(p-value F-stat)

−0.0856^***

(0.003)

−0.4996^*

(0.062)

0.1839

(0.752)

−0.4165

(0.721)

−4.9902

(0.135)