Variables

NZD/AUD

AUD/USD

NZD/USD

Momentum

0.9429***

0.9521***

0.9867***

0.9849**

0.9822***

0.9789***

(−55.809)

(−56.805)

−70.463

(−72.490)

(−73.800)

(−74.520)

Mean Reversion

−0.1521**

−0.1301**

−0.0751

−0.0579

(−2.437)

(−2.077)

(−0.957)

(−0.794)

Ral.GDP.NZ&AU

0.1876**

0.1890**

(−2.187)

(−2.178)

Ral.GDP.AU&US

0.3733*

0.3749**

(−1.955)

(−1.976)

Ral.GDP.NZ&US

0.1205

(−1.304)

NZ Commodity Prices

−0.1977***

−0.2099***

−0.2192***

−0.2131***

(−3.560)

(−3.748)

(−3.923)

(-4.583)

AU Commodity Prices

0.1906***

0.1798***

−0.3326***

−0.2994***

−−

(−3.771)

(−3.526)

(−5.323)

(−5.995)

US Commodity Prices

0.0423

0.0030

(−0.9828)

(−0.078)

NZ Migration

0.0000***

(−2.727)

Adj. R-squared

0.9293

0.9276

0.9485

0.9486

0.9543

0.9515

Sample period

1986M1-2010M1

1986M1-2010M1

1986M1-2010M1

1986M1-2010M1

1986M1-2010M1

1986M1-2010M1

No. obs.

291

291

291

291

291

291

Durbin-Watson

2.0057

1.9823

1.9336

1.9903

1.9181

2.0135