Variable | VIF |
---|---|
VIX | 1.222 |
Twitter variable | 1.282 |
Credit default swaps | 1.805 |
Government bond yield spread | 1.215 |
NBP interventions | 1.784 |
Variable | Statistic |
---|---|
EUR/PLN | −3.613 |
VIX | −2.121 |
Twitter variable | −2.127 |
Credit default swaps | −4.99 |
Government bond yield spread | −5.138 |
Residuals | −4.598 |
Variable | Coefficient | HAC |
---|---|---|
Constant | 4.5082 | (126.81) |
VIX | 0.0034 | (2.99) |
Twitter variable | 0.0001 | (3.57) |
Credit default swaps (weekly change, lagged by 1 day) | 0.0032 | (4.1) |
Government bond yield spread (weekly change) | 0.0706 | (4.28) |
NBP interventions | −0.0873 | (−1.72) |
Observations | 78 | |
0.690 | ||
Adjusted |
0.669 | |
32.12 |
Explanatory variables | VIX | Twitter variable | Credit default swaps | Government bond yield spread |
---|---|---|---|---|
VIX | 1.000 | 0.177 | 0.383 | 0.255 |
Twitter variable | 0.177 | 1.000 | 0.246 | 0.365 |
Credit default swaps | 0.383 | 0.246 | 1.000 | 0.205 |
Government bond yield spread | 0.255 | 0.365 | 0.205 | 1.000 |