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

−0.4251***

0.1116

−3.8083

−0.0700

0.0364

−1.9246

0.0576

0.0420

1.3695

Mean Reversion

0.1310**

0.0626

−2.0769

−0.0578

0.0728

−0.7944

−0.0751

0.0784

−0.9574

D*Mean Reversion

0.1204

0.1553

0.7753

0.4246**

0.1928

2.2030

0.6048***

0.1936

3.1237

Ral.GDP.NZ&AU

0.1890**

0.0868

2.1770

D*Ral.GDP.NZ&AU

−0.3100

0.3235

−0.9583

Ral.GDP.AU&US

0.3733**

0.1909

1.9555

D*Ral.GDP.AU&US

0.4663

0.6114

0.7627

Ral.GDP.NZ&US

0.1205

0.0924

1.3043

D*Ral.GDP.NZ&US

−0.4470

0.4800

−0.9312

NZ Commodity Prices

−0.2099***

0.0560

−3.7483

−0.2192***

0.0559

−3.9230

D*NZ Commodity Prices

−0.2205

0.1430

−1.5421

0.2731**

0.1378

1.9824

AU Commodity Prices

0.1798***

0.0510

3.5259

−0.3326***

0.0625

−5.3230

D*AU Commodity Prices

0.0941

0.1055

0.8924

−0.1637

0.1490

−1.0990

US Commodity Prices

0.0030

0.0386

0.0782

0.0423

0.0431

0.9828

D*US Commodity Prices

−0.1399

0.0992

−1.4114

−0.3772***

0.1066

−3.5377

Adj. R Square

0.9310

0.9560

0.9520

No. obs.

243

243

243