Table 2 Correlation coefficient matrix...

Table 2

Correlation coefficient matrix for regression variables

Pearson correlation coefficients, N = 118
p-values are in parenthesis
	CDS spread	Six-month treasury bill rate	Gold futures	NBUDI	BEI	FRB	Crude oil Futures	Fed funds rate	Job postings	Covid news effect	Macro news effect
CDS Spread	1
Six-month Treasury Bill Rate	−0.171	1
Six-month Treasury Bill Rate	(0.065)
Gold	−0.062	−0.440	1
Gold	(0.505)	(<0.0001)
NBUDI	0.273	0.122	−0.361	1
NBUDI	(0.003)	(0.188)	(<0.0001)
BEI	0.044	−0.075	0.389	−0.726	1
BEI	(0.638)	(0.422)	(<0.0001)	(<0.0001)
FRB	0.180	−0.569	0.626	−0.386	0.731	1
FRB	(0.051)	(<0.0001)	(<0.0001)	(<0.0001)	(<0.0001)
Crude Oil	0.048	0.218	0.252	−0.554	0.907	0.582	1
Crude Oil	(0.607)	(0.018)	(0.006)	(<0.0001)	(<0.0001)	(<0.0001)
Fed Funds Rate	−0.157	0.899	−0.600	0.066	−0.216	−0.770	0.013	1
Fed Funds Rate	(0.089)	(<0.0001)	(<0.0001)	(0.477)	0.019)	(<0.0001)	(0.893)
Job Postings	0.161	0.026	0.199	−0.500	0.890	0.661	0.912	−0.117	1
Job Postings	(0.082)	(0.779)	(0.030)	(<0.0001)	(<0.0001)	(<0.0001)	(<0.0001)	(0.207)
Covid news effect	−0.030	−0.318	0.097	0.204	−0.185	0.069	−0.291	−0.345	−0.283	1
Covid news effect	(0.747)	(0.000)	(0.298)	(0.026)	(0.045)	(0.456)	(0.001)	(0.000)	(0.002)
Macro news effect	−0.037	0.107	−0.140	0.011	−0.022	−0.116	0.020	0.109	0.030	0.024	1
Macro news effect	(0.691)	(0.251)	(0.131)	(0.902)	(0.817)	(0.210)	(0.828)	(0.240)	(0.747)	(0.794)

Pearson correlation coefficients, N = 118
p-values are in parenthesis
	CDS spread	Six-month treasury bill rate	Gold futures	NBUDI	BEI	FRB	Crude oil Futures	Fed funds rate	Job postings	Covid news effect	Macro news effect
CDS Spread	1
Six-month Treasury Bill Rate	−0.171	1
Six-month Treasury Bill Rate	(0.065)
Gold	−0.062	−0.440	1
Gold	(0.505)	(<0.0001)
NBUDI	0.273	0.122	−0.361	1
NBUDI	(0.003)	(0.188)	(<0.0001)
BEI	0.044	−0.075	0.389	−0.726	1
BEI	(0.638)	(0.422)	(<0.0001)	(<0.0001)
FRB	0.180	−0.569	0.626	−0.386	0.731	1
FRB	(0.051)	(<0.0001)	(<0.0001)	(<0.0001)	(<0.0001)
Crude Oil	0.048	0.218	0.252	−0.554	0.907	0.582	1
Crude Oil	(0.607)	(0.018)	(0.006)	(<0.0001)	(<0.0001)	(<0.0001)
Fed Funds Rate	−0.157	0.899	−0.600	0.066	−0.216	−0.770	0.013	1
Fed Funds Rate	(0.089)	(<0.0001)	(<0.0001)	(0.477)	0.019)	(<0.0001)	(0.893)
Job Postings	0.161	0.026	0.199	−0.500	0.890	0.661	0.912	−0.117	1
Job Postings	(0.082)	(0.779)	(0.030)	(<0.0001)	(<0.0001)	(<0.0001)	(<0.0001)	(0.207)
Covid news effect	−0.030	−0.318	0.097	0.204	−0.185	0.069	−0.291	−0.345	−0.283	1
Covid news effect	(0.747)	(0.000)	(0.298)	(0.026)	(0.045)	(0.456)	(0.001)	(0.000)	(0.002)
Macro news effect	−0.037	0.107	−0.140	0.011	−0.022	−0.116	0.020	0.109	0.030	0.024	1
Macro news effect	(0.691)	(0.251)	(0.131)	(0.902)	(0.817)	(0.210)	(0.828)	(0.240)	(0.747)	(0.794)

Source(s): Authors’ work

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