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Table 1 Correlation table

From: The Swiss franc safety premium

  \(Corr(r_{t+1}^{\omega }, \triangle e_{t+1})\) \(Corr(r_{t+1}^{\omega }, \triangle e_{t+1})\) \(Corr(r_{t+1}^{\omega }, \triangle e_{t+1})\)
   for \(r_{t+1}^{\omega } < \bar {r}\) for \(r_{t+1}^{\omega } \geq \bar {r}\)
USD Index    
all 0.18*** 0.16* 0.23***
CHF Index    
all 0.32*** 0.23** −0.02
T<1999 0.25** 0.44*** 0.03
T≥1999 0.37*** 0.13 0.15
EUR/CHF    
all 0.27*** 0.24** −0.09
T<1999 0.13 0.46*** −0.03
T≥1999 0.38*** 0.17 0.12
  1. Notes: The first column of this table shows the unconditional correlation between monthly local stock market returns and exchange rate returns (end of period values) for the time period January 1990 to August 2011. The second and the third columns show the same correlation depending on whether stock returns are below or above their sample average. Local stock market returns are calculated from the S&P 500 Index in case of the USD exchange rate index and the SPI for the two CHF exchange rates
  2. ***, **, * denote significance levels of 1, 5, and 10%, respectively, based on a t-test