Table 8 Robustness: Wedge properties for \(\nu =2\) (1980Q1–2016Q3)

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

\(\frac{{\varvec{\sigma}} ({\varvec{W}}_{\varvec{t}})}{{\varvec{\sigma}} ({\varvec{Y}}_{\varvec{t}})}\)

\({\varvec{Corr}}({\varvec{W}}_{{\varvec{t+k}}}, {\varvec{Y}}_{\varvec{t}})\)

\({\varvec{Corr}}({\varvec{W}}_{{\varvec{t+k}}}, {\varvec{X}}_{\varvec{t}})\)

\({\varvec{Corr}}({\varvec{W}}_{{\varvec{t+k}}}, {\varvec{H}}_{\varvec{t}})\)

k = −1

k = 0

k = 1

k = −1

k = 0

k = 1

k = −1

k = 0

k = 1