|
TABLE 1 : Summary Statistics________________________________________________________________________________________________ | |||||
|
Mean |
Std. Dev. |
Max |
Min |
Non-Zero Observations | |
|
Federal Funds Target Rate Change Unexpected (pct. points) |
0.0757 |
0.1327 |
0.14 |
-0.36 |
42______________________ |
|
Federal Funds Target Rate Change Expected (pct. points) |
-0.0195 |
0.2296 |
0.61 |
-0.29 |
42_______________________ |
|
Federal Funds Target Rate Change Actual (pct. points)_______ |
-0.0952 |
0.3072 |
0.75 |
-0.50 |
42_______________________ |
|
DEM/USD Daily Spot Rate___________________________ |
1.6372 |
0.1386 |
2.0295 |
1.356 |
2434____________________ |
|
GBP/USD Daily Spot Rate_____________________________ |
0.6190 |
0.0435 |
0.7144 |
0.499 |
2989____________________ |
|
JPY/USD Daily Spot Rate______________________________ |
119.3039 |
16.1690 |
159.91 |
81.071 |
2989____________________ |
|
US CPI Unexpected_________________________________ |
-0.0006 |
0.0246 |
0.3 |
-0.3 |
94______________________ |
|
US Industrial Production Unexpected______________________ |
0.0013 |
0.0527 |
0.9 |
-0.7 |
121________________________ |
|
US PPI Unexpected___________________________________ |
-0.0028 |
0.0561 |
0.6 |
-0.8 |
120______________________ |
|
US Trade Balance Unexpected__________________________ |
-0.0111 |
0.3246 |
2.75 |
-3.8 |
141________________________ |
|
US Unemployment Rate Unexpected____________________ |
-0.0015 |
0.0311 |
0.4 |
-0.4 |
97______________________ |
|
Bundesbank Intervention (binary)___________________________ |
0.0514 |
0.2208 |
1____________ |
0__________ |
125________________________ |
|
Bundesbank Interest Rate (binary)___________________________ |
0.0070 |
0.0835 |
1____________ |
0__________ |
21_______________________ |
|
Bank of England Interest Rate (binary)______________________ |
0.0144 |
0.1191 |
1____________ |
0__________ |
43_______________________ |
|
Bank of Japan Interest Rate (binary)_________________________ |
0.0054 |
0.0730 |
1____________ |
0__________ |
16_________________________ |
|
Bank of Japan Intervention (binary)_________________________ |
0.0646 |
0.2458 |
1____________ |
0__________ |
193________________________ |
|
NOTES: a) All data series run from March 27, 1989 to February 2, 2002, with the exception of the DEM/USD exchange rate which ends on December 31, b) Mean and std. dev. for the Federal Funds Target Rate variables are calculated using only non-zero observations. Data Sources: Federal Funds Target Rate Data: From Kuttner (2001). Exchange Rate Data: Board of Governors of the Federal Reserve (Noon Eastern Time). Bundesbank, Bank of England and Bank of Japan Data: From official central bank sources. U.S. Macroeconomic Surprise Data: From Money Market Services and Bloomberg (the surprise is measures as the difference between actual | |||||
22
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