From: A survey-based estimation of the Swiss franc forward term premium
Unit | Mean | t stat | p50 | Min | Max | sd | Count | |
---|---|---|---|---|---|---|---|---|
Panel A: Interest rates | ||||||||
Libor 3M | % | 1.91 | 1.34 | − 0.90 | 9.41 | 2.27 | 306 | |
Futures 3M | % | 1.92 | 1.59 | − 0.99 | 8.71 | 2.16 | 306 | |
Futures 12M | % | 2.17 | 2.04 | − 1.06 | 7.86 | 2.02 | 306 | |
Survey 3M | % | 1.94 | 1.51 | − 0.94 | 8.80 | 2.22 | 306 | |
Survey 12M | % | 2.19 | 2.04 | − 0.79 | 7.88 | 2.05 | 306 | |
Panel B: Excess returns and decomposition | ||||||||
Excess return 3M | pp | 0.12** | 2.55 | 0.04 | − 2.00 | 2.34 | 0.48 | 306 |
Excess return 12M | pp | 0.63*** | 3.89 | 0.56 | − 2.57 | 3.56 | 1.02 | 306 |
Term premium 3M | pp | − 0.02 | − 0.90 | − 0.03 | − 1.39 | 0.88 | 0.27 | 306 |
Term premium 12M | pp | − 0.02 | − 0.30 | − 0.05 | − 1.91 | 1.29 | 0.41 | 306 |
Forecast error 3M | pp | 0.14*** | 2.83 | 0.06 | − 1.60 | 2.42 | 0.50 | 306 |
Forecast error 12M | pp | 0.64*** | 3.86 | 0.53 | − 1.88 | 3.28 | 1.00 | 306 |
Panel C: Explanatory variables | ||||||||
dispersion 3M | pp | 0.13 | 0.12 | 0.02 | 0.51 | 0.08 | 219 | |
dispersion 12M | pp | 0.27 | 0.27 | 0.03 | 0.74 | 0.13 | 219 | |
garch 3M | pp | 1.07 | 1.02 | 0.27 | 3.37 | 0.60 | 306 | |
garch 12M | pp | 1.54 | 1.33 | 0.39 | 4.10 | 0.80 | 306 | |
VIX | pp | 19.67 | 17.63 | 10.64 | 62.47 | 8.07 | 306 | |
Δ BCI | index | 0.01 | 0.04 | − 2.55 | 1.92 | 0.63 | 306 | |
Δ Libor 3M | pp | − 0.03 | 0.00 | − 1.19 | 1.19 | 0.24 | 306 | |
Δ CHF real | index | 0.00 | 0.00 | − 0.10 | 0.08 | 0.02 | 306 |