NZD/AUD

NZD/USD

AUD/USD

OLS Test

OLS + Break dummy

OLS Test

OLS + Break dummy

OLS Test

OLS + Break dummy

Momentum

0.952

***

0.962

***

0.965

***

0.982

***

0.996

***

0.976

***

0.987

***

0.983

***

0.957

***

(56.805)

(57.909)

(44.763)

(73.795)

(66.960)

(34.829)

70.46345

65.06186

35.41659

Mean Reversion

−0.130

**

−0.127

*

−0.204

**

−0.058

−0.177

**

−0.113

−0.075

−0.190

**

−0.140

(−2.077)

(−1.848)

(−2.364)

(−0.794)

(−2.043)

(−0.895)

−0.95738

−2.16437

−1.22082

Ral.GDP.NZ&AU

0.189

**

0.221

**

0.365

***

(2.177)

(2.492)

(2.982)

Ral.GDP.AU&NZ

0.373

*

0.303

0.449

*

(1.955)

(1.544)

(1.615)

Ral.GDP.NZ&US

0.120

0.161

*

0.188

*

(1.304)

(1.722)

(1.615)

NZ Commodity Prices

−0.210

***

−0.208

***

−0.118

−0.219

***

−0.289

***

−0.209

**

(−3.748)

(−3.312

(−1.381)

(−3.922)

(−4.516）

(−2.257)

AU Commodity Prices

0.179824

***

−0.1846

***

0.228426

**

−0.33262

***

−0.29504

***

−0.23721

**

(3.526)

(2.782)

(2.341)

(−5.323)

(−3.879)

(−2.071)

US Commodity Prices

0.003

0.019

0.004

0.042

0.089

*

0.086

(−0.078)

(0.416)

(0.059)

(0.982)

(1.816)

(1.288)

Breakpoint

2007M12

2000M1

2007M12

2000M1

2007M12

2000M1

Adj.R^2

0.928

0.931

0.929

0.954

0.956

0.954

0.948

0.952

0.949

No. obs.

268

243

170

268

243

170

268

243

170

Sample period

1986M1-2010M1