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Wednesday 15 February 2012

Euro dollar (3 months) & U.S. Treasury Bills - Regression

For last 20 years (quarterly data) U.S. Treasury bills on the x-axis and Euro dollar on the y-axis, the scatter plot and the regression summary output is as follows.










Regression Statistics
Multiple R 0.76724
R Square 0.58866
Adjusted R Square 0.58358
Standard Error 0.33201
Observations 83
ANOVA
  df SS MS F Sig. F
Regression 1 12.778 12.778 115.919 2.709E-17
Residual 81 8.929 0.110
Total 82 21.707      
  Coefficients Standard Error t Stat P-value Lower 95% Upper 95%
Intercept -0.010 0.037 -0.259 0.796 -0.083 0.064
U.S. T-Bill 0.913 0.085 10.767 0.000 0.744 1.081



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