Table 2. Summary statistics of term...

Table 2.

Summary statistics of term spread, its components and economic policy uncertainty

	KOR term spread (10y−1y)	KOR ACM term premium (10y−1y)	KOR ACM risk-neutral expectation (10y−1y)	KOR EPU	US term spread (10y−1y)	US ACM term premium (10y−1y)	US ACM risk-neutral expectation (10y−1y)	US EPU
Mean	0.8680	0.8024	0.0657	130.0449	1.7873	0.8208	0.9665	119.8335
Median	0.7601	0.8975	0.1775	119.7630	1.8141	0.5881	1.2700	108.8932
Max	2.8231	2.0799	0.9327	391.7984	3.7168	2.9497	1.6291	283.6656
Min	−0.0911	−0.6458	−1.1447	37.3066	−0.3259	−0.3305	−0.5622	44.7828
SD	0.6221	0.6510	0.5892	59.8400	1.0864	0.7263	0.6307	46.2130
Skewness	1.2977	−0.3122	−0.4459	1.7354	−0.1559	0.4487	−1.2967	0.9112
Kurtosis	4.2727	1.9930	2.0725	7.5267	2.1069	2.0698	3.3377	3.5897
Jarque-Bera Statistic	59.8873***	10.0619***	11.8661***	233.1793***	6.4127**	11.9722***	49.0150***	26.2931***
ADF test	−1.2794	−1.4946	−0.9815	−2.1970**	−1.4766	−1.8971*	−0.8646	−1.8728*

	KOR term spread(10y−1y)	KOR ACM term premium(10y−1y)	KOR ACM risk-neutral expectation(10y−1y)	KOR EPU	US term spread (10y−1y)	US ACM term premium(10y−1y)	US ACM risk-neutral expectation(10y−1y)	US EPU
Mean	0.8680	0.8024	0.0657	130.0449	1.7873	0.8208	0.9665	119.8335
Median	0.7601	0.8975	0.1775	119.7630	1.8141	0.5881	1.2700	108.8932
Max	2.8231	2.0799	0.9327	391.7984	3.7168	2.9497	1.6291	283.6656
Min	−0.0911	−0.6458	−1.1447	37.3066	−0.3259	−0.3305	−0.5622	44.7828
SD	0.6221	0.6510	0.5892	59.8400	1.0864	0.7263	0.6307	46.2130
Skewness	1.2977	−0.3122	−0.4459	1.7354	−0.1559	0.4487	−1.2967	0.9112
Kurtosis	4.2727	1.9930	2.0725	7.5267	2.1069	2.0698	3.3377	3.5897
Jarque-Bera Statistic	59.8873***	10.0619***	11.8661***	233.1793***	6.4127**	11.9722***	49.0150***	26.2931***
ADF test	−1.2794	−1.4946	−0.9815	−2.1970**	−1.4766	−1.8971*	−0.8646	−1.8728*

Notes:

The table reports summary statistics of monthly term spread, its components and economic policy uncertainty (EPU) of Korea and the USA. The 10 year−1year term spreads, the term premiums and the expectation on future short-term interest rates (Risk-neutral expectation) are calculated using ACM method. Economic policy uncertainty is economic policy uncertainty index proposed by Baker et al. (2016). Jarque-Bera statistic verifies nonnormality and ADF (Augmented Dickey-Fuller) test is a t-statistic on β in the regression of each variable x_t, x_t = α + βx_t_-1 + δ₁Δx_t_-1 +… + δ_p_-1Δx_t_-_p₊₁ + ε_t. Lag order p is selected by using Ng and Perron (1995)’s procedure. *, ** and *** represent significance at the 10, 5 and 1% levels, respectively. The sample period covers January 2004 to April 2018

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