NZD/AUD

NZD/USD

AUD/USD

Coefficient

Std. Error

t-Statistic

Coefficient

Std. Error

t-Statistic

Coefficient

Std. Error

t-Statistic

Momentum

0.9521***

0.0168

56.8054

0.9823***

0.0133

73.7959

0.9867***

0.0140

70.4635

D*Momentum

−0.0325

0.0391

−0.8293

0.0088

0.0321

0.2750

0.0413

0.0322

1.2839

Mean Reversion

−0.1301**

0.0626

−2.0769

−0.0578

0.0728

−0.7944

−0.0751

0.0784

−0.9574

D*Mean Reversion

0.1199

0.1258

0.9526

0.0585

0.1577

0.3710

0.1583

0.1597

0.9912

Ral.GDP.NZ&AU

0.1890**

0.0868

2.1770

D*Ral.GDP.NZ&AU

−0.3875**

0.1729

−2.2413

Ral.GDP.AU&US

0.3733**

0.1909

1.9555

D*Ral.GDP.AU&US

−0.1217

0.3837

−0.3172

Ral.GDP.NZ&US

0.1205

0.0924

1.3043

D*Ral.GDP.NZ&US

−0.1904

0.1973

−0.9650

NZ Commodity Prices

−0.2099***

0.0560

−3.7483

−0.2192***

0.0559

−3.9230

D*NZ Commodity Prices

−0.1672

0.1131

−1.4776

−0.0269

0.1175

−0.2293

AU Commodity Prices

0.1798***

0.0510

3.5259

−0.3326***

0.0625

−5.3230

D*AU Commodity Prices

−0.0300

0.1152

−0.2607

−0.1171

0.1380

−0.8490

US Commodity Prices

0.0030

0.0386

0.0782

0.0423

0.0431

0.9828

D*US Commodity Prices

0.0031

0.0817

0.0377

−0.1003

0.0885

−1.1329

Adj. R Square

0.9290

0.9540

0.9490

No. obs.

170

170

170