Bank Size

Smallest 75th

75th - 90th

90th - 95th

95th - 99th

Top 1%

1SD(=1)*DLog(EX.RATE)

Lag 1

−0.0003^*

(0.053)

−0.0023^*

(0.068)

0.0036

(0.292)

0.0036

(0.507)

0.0058

(0.608)

Lag 2

−0.0004^*

(0.032)

−0.0044^***

(0.006)

−0.0076^*

(0.079)

−0.0023

(0.736)

−0.0189

(0.178)

Lag 3

−0.0009^***

(0.000)

−0.0007

(0.675)

0.0052

(0.254)

0.0040

(0.578)

−0.0242

(0.101)

Lag 4

−0.0002

(0.241)

−0.0021

(0.115)

−0.0042

(0.240)

0.0011

(0.851)

−0.0138

(0.236)

DLog(EX.RATE)

Lag 1

−0.0224

(0.293)

−0.5110^***

(0.003)

−1.4269^***

(0.003)

−0.6100

(0.422)

−0.5697

(0.714)

Lag 2

0.0023

(0.906)

0.4162^***

(0.010)

1.1351^**

(0.011)

−0.3905

(0.579)

−2.5335^*

(0.080)

Lag 3

−0.0433^**

(0.017)

−0.5189^***

(0.000)

−0.4196

(0.304)

−0.3155

(0.624)

1.4561

(0.274)

Lag 4

−0.0023

(0.900)

−0.1237

(0.401)

−0.6229

(0.123)

−0.3764

(0.554)

−0.9579

(0.472)

SDLog(EX.RATE) + S1SD(=1)^* DLog(EX.RATE)

(p-value F-stat)

−0.0674^**

(0.029)

−0.7468^***

(0.003)

−1.3373^*

(0.052)

−1.68598

(0.118)

−2.66754

(0.238)