From: Understanding Swiss real interest rates in a financially globalized world
Mean Variable | 1999Q1–2009Q4 | 2010Q1–2020Q4 | Difference |
---|---|---|---|
Real Differential: \(r^*-r\) | 0.79 | −1.08 | −1.87 |
Expected excess return | 1.34 | 2.49 | 1.15 |
Convenience Yield: \(\lambda\) | −0.21 | −0.44 | −0.23 |
-Expected real depreciation | −0.34 | −3.09 | −2.75 |
Ex post excess return | 0.28 | −2.06 | −2.34 |
-Ex post real depreciation | 0.38 | 0.83 | 0.45 |