Bank Size

<75th

75th - 90th

90th - 95th

95th - 99th

Top 1%

DLog(EX.RATE)

Lag 1

−0.0592^***

(0.001)

−0.3931^***

(0.009)

−0.4923

(0.228)

−0.2113

(0.744)

−0.7629

(0.566)

Lag 2

0.0082

(0.641)

0.2024

(0.162)

0.3621

(0.361)

−0.6594

(0.291)

−3.1252^**

(0.015)

Lag 3

−0.0568^***

(0.001)

−0.3529^**

(0.013)

0.07437

(0.848)

−0.1396

(0.819)

1.4723

(0.244)

Lag 4

0.0222

(0.183)

−0.1456

(0.286)

−0.7635^**

(0.042)

−0.3740

(0.527)

−0.4119

(0.737)

SDLog(EX.RATE)

(p-value F-stat)

−0.0855^***

(0.005)

−0.6892^***

(0.005)

−0.8194

(0.224)

−1.3843

(0.190)

−2.8277

(0.203)

DFFR

Lag 1

−0.0040

(0.004)

0.0014

(0.902)

−0.0360

(0.245)

0.0520

(0.286)

0.0897

(0.373)

Lag 2

0.0011

(0.482)

0.0015

(0.910)

0.0650^*

(0.066)

−0.0317

(0.571)

−0.0341

(0.767)

Lag 3

−0.0018

(0.256)

−0.0175

(0.185)

−0.0769^**

(0.034)

−0.0844

(0.140)

−0.1757

(0.134)

Lag 4

−0.0012

(0.390)

−0.0055

(0.636)

0.03847

(0.227)

0.0780

(0.122)

0.0724

(0.483)

R²: Within/betw/overall

0.262/0.012/0.661

0.050/0.001/0.647

0.237/0.062/0.889

0.280/0.013/0.388

0.017/0.004/0.118

No. Banks

9677

3155

1232

750

148

N

408,263

76,356

23,438

17,511

4313