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Table 2 Descriptive statistics of data

From: Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets

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

  1. Typical EM (AE) represents the average of the descriptive statistics of 20 EMs (AEs)