Canada-US Dollar (1991Q1-2007Q1)

Bank Size

Smallest 75th

75th - 90th

90th - 95th

95th - 99th

Top 1%

DLog(EX.RATE)

Lag 1

−0.0716^***

(0.000)

−0.5639^***

(0.000)

−0.3603

(0.353)

0.1215

(0.843)

−1.5028

(0.232)

Lag 2

0.0149

(0.367)

0.2417^*

(0.076)

−0.1308

(0.725)

−1.2985^**

(0.026)

−1.4499

(0.229)

Lag 3

−0.0612^***

(0.000)

−0.3718^***

(0.005)

0.2253

(0.538)

−0.0622

(0.914)

−0.3735

(0.753)

Lag 4

0.0391^**

(0.018)

0.1581

(0.241)

0.4543

(0.217)

−0.5777

(0.317)

0.0717

(0.953)

SDLog(EX.RATE)

(p-value F-stat)

−0.0788^***

(0.003)

−0.5360^**

(0.014)

−0.7201

(0.224)

−1.8169^*

(0.051)

−3.2544^*

(0.092)