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Table 2 Descriptive statistics

From: The Swiss franc safety premium

  USD Index CHF Index EUR/CHF
Mean ExR (ann.) 1.38% −0.54% −0.30%
Mean up to 2007m7 0.93% 1.10% 1.34%
StD ExR 7.44% 5.51% 5.38%
Mean et+1 1.16% −2.23% −2.10%
Mean \(r^{*}_{f,t+1}-r_{f,t+1}\) 0.22% 1.69% 1.80%
Max (mon.) 5.77% 4.57% 4.76%
Max date 2009m5 2008m11 2008m11
Min −7.78% −6.16% −6.68%
Min date 1991m3 2008m12 2008m10
  1. Notes: Statistics are for monthly currency excess returns (ExR, defined as \(\triangle e_{t+1} + r^{*}_{f,t+1}-r_{f,t+1}\)) as well as for the corresponding subcomponents: Mean et+1 and mean \(r^{*}_{f,t+1}-r_{f,t+1}\) are the average log exchange rate change and interest rate differential for each index. The total sample covers the period January 1990 to August 2011 (259 observations). The means and standard deviation are annualized, while the highest (Max) and lowest (Min) currency excess return realizations are on a monthly basis. The max and min date refer to the month when this highest and lowest returns occurred, respectively