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Table 1 Decomposition of the real yield differential euro-Swiss franc with one-year horizon, in percent

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

  1. This decomposition is based on Eq. (3), according to which: real yield differential \(=\) expected excess return \(+\) convenience yield − expected real depreciation. The data come from Datastream and Consensus Economics. All figures are expressed in percentage points