19
Table 1 Descriptive Statistics
(a) Stock Indices: January 1997-December 2002
|
Emerging Asia |
Europe |
Latin America |
North America | |
|
Observations |
1,555 |
1,555 |
1,555 |
1,555 |
|
Mean |
-0.001 |
0.000 |
0.000 |
0.000 |
|
Median |
-0.001 |
0.001 |
0.000 |
0.000 |
|
Std. dev. |
0.015 |
0.012 |
0.018 |
0.013 |
|
25%-quantile |
-0.009 |
-0.007 |
-0.009 |
-0.007 |
|
50%-quantile |
-0.001 |
0.001 |
0.000 |
0.000 |
|
75%-quantile |
0.008 |
0.007 |
0.009 |
0.007 |
|
Minimum |
-0.075 |
-0.057 |
-0.145 |
-0.069 |
|
Maximum |
0.076 |
0.052 |
0.131 |
0.055 |
|
Skewness |
0.0 |
-0.2 |
-0.4 |
-0.1 |
|
Excess kurtosis |
4.3 |
3.3 |
74.7 |
5.3 |
|
Jarque Bera test |
28.0 |
30.0 |
518.7 |
36.0 |
|
P-value |
0.00 |
0.00 |
0.00 |
0.00 |
Notes: (1) Figures are daily and measured in US dollars, and were obtained from Bloomberg. (2) The Latin
America index includes Argentina, Brazil, Chile, Colombia, Mexico, Peru, and Venezuela; the North America
index includes Canada and the United States; the Emerging Asia index includes China, India, Indonesia,
Korea, Malaysia, Pakistan, Philippines, Taiwan, and Thailand; the Europe index includes Austria, Belgium,
Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Norway, Portugal,
Spain, Sweden, and the United Kingdom; (3) The Jarque-Bera test detects whether the probability distribution
of a series departures from normality.
(b) Interest Rates in Chile: January 1997-April 2002
|
30-day rate |
60-day rate |
90-day rate |
180-day rate | |
|
Observations |
1,307 |
1,307 |
1,312 |
1,312 |
|
Mean |
0.097 |
0.088 |
0.063 |
0.058 |
|
Median |
0.088 |
0.083 |
0.056 |
0.056 |
|
Std. Dev. |
0.042 |
0.031 |
0.027 |
0.020 |
|
25%-quantile |
0.066 |
0.064 |
0.049 |
0.048 |
|
50%-quantile |
0.088 |
0.083 |
0.056 |
0.056 |
|
75%-quantile |
0.120 |
0.109 |
0.074 |
0.067 |
|
Maximum |
0.005 |
0.030 |
0.001 |
0.002 |
|
Minimum |
0.370 |
0.228 |
0.219 |
0.150 |
|
Skewness |
1.3 |
0.9 |
1.3 |
0.7 |
|
Excess kurtosis |
11.6 |
0.7 |
21.8 |
7.4 |
|
Jarque Bera test |
427.3 |
165.5 |
483.5 |
150.2 |
|
P-value |
0.00 |
0.00 |
0.00 |
0.00 |
|
ADF stat |
-4.647 |
-3.545 |
-2.956 |
-2.671 |
|
(0.001) |
(0.035) |
(0.145) |
(0.249) |
Notes: (1) The data are daily and were obtained from Bloomberg. Interest rates are annualized. (2) The lag
length in the Augmented Dickey-Fuller (ADF) test statistic is determined by the Schwartz information
criterion. P-values are between parentheses. (3) The Jarque-Bera test detects whether the probability
distribution of a series departures from normality.