Table 1 Descriptive statistics of model-consistent data (1980Q1–2016Q3)

\({\varvec{D}}_{\varvec{t}}\)

\({{\varvec{\sigma}} ({\varvec{D}}_{\varvec{t}})} / {{\varvec{\sigma}} ({\varvec{y}}_{\varvec{t}})}\)

\({\varvec{Corr}}({\varvec{D}}_{{\varvec{t+k}}}, {\varvec{y}}_{\varvec{t}})\)

k = −2

k = −1

k = 0

k = 1

k = 2