F/H | Variables | Mean | Median | Maximum | Minimum | SD |
---|---|---|---|---|---|---|
US | \(\Delta {spread}_{t}^{Mortgage}\) | 0.00025 | 0.00000 | 0.59100 | − 0.45100 | 0.08624 |
\(\Delta {spread}_{t}^{Term}\) | 0.00075 | 0.00000 | 0.25000 | − 0.14000 | 0.02577 | |
\(\Delta {vix}_{t}^{US}\) | − 0.00003 | − 0.00390 | 0.40547 | − 0.35059 | 0.07143 | |
Typical EM | \(\Delta {r}_{t}\) | − 0.00128 | 0.00000 | 1.93055 | − 1.77595 | 0.18234 |
\(\Delta {e}_{t}\) | 0.00017 | 0.00011 | 0.10418 | − 0.10988 | 0.01563 | |
\(\Delta {s}_{t}\) | 0.00009 | − 0.00006 | 0.07085 | − 0.04338 | 0.00783 | |
\(\Delta {\rho }_{t}\) | 0.00085 | 0.00000 | 0.50794 | − 0.36554 | 0.04544 | |
Typical AE | \(\Delta {r}_{t}\) | − 0.00202 | − 0.00145 | 0.74495 | − 0.69790 | 0.08910 |
\(\Delta {e}_{t}\) | − 0.00034 | 0.00005 | 0.09607 | − 0.14354 | 0.01650 | |
\(\Delta {s}_{t}\) | 0.00002 | − 0.00004 | 0.04786 | − 0.05293 | 0.00794 | |
\(\Delta {\rho }_{t}\) | 0.00172 | 0.00000 | 0.80455 | − 0.89786 | 0.06722 |