Table 1 Descriptive statistics excessR...

Table 1

Descriptive statistics

	excessR	realR	$Δ T$ Bill	termS	dp	r.bill	$Δ$ eFFR	$Δ$ SR_WX	$Δ$ SR_KR
Mean	0.5725	0.6433	−0.0263	2.1215	2.0412	−0.1859	−0.0299	−0.0367	−0.0481
SE	0.2824	0.2244	0.0184	0.0841	0.0390	0.0519	0.0364	0.0128	0.0239
Median	1.0343	1.0190	−0.0051	2.2994	1.8362	−0.0811	−0.0100	0.0000	−0.0400
Std	4.4921	3.5701	0.2928	1.3376	0.6208	0.8253	0.5797	0.2044	0.3799
Var.	20.1787	12.7453	0.0858	1.7892	0.3854	0.6811	0.3361	0.0418	0.1443
Kurtosis	1.4886	3.3170	2.6650	−1.1415	−0.5598	0.1418	3.6186	2.8339	0.9054
Skewness	−0.7201	0.4522	−0.5959	−0.2593	0.6306	−0.4392	0.0042	−0.9964	−0.3458
Min	−18.5403	−9.6038	−1.1931	−0.7034	1.1085	−2.6581	−2.0800	−0.9600	−1.3300
Max	11.3982	19.6387	0.9811	4.6268	3.7195	1.5851	2.6500	0.5300	0.9400
N	253	253	253	253	253	253	253	253	253

	excessR	realR	$Δ T$ Bill	termS	dp	r.bill	$Δ$ eFFR	$Δ$ SR_WX	$Δ$ SR_KR
Mean	0.5725	0.6433	−0.0263	2.1215	2.0412	−0.1859	−0.0299	−0.0367	−0.0481
SE	0.2824	0.2244	0.0184	0.0841	0.0390	0.0519	0.0364	0.0128	0.0239
Median	1.0343	1.0190	−0.0051	2.2994	1.8362	−0.0811	−0.0100	0.0000	−0.0400
Std	4.4921	3.5701	0.2928	1.3376	0.6208	0.8253	0.5797	0.2044	0.3799
Var.	20.1787	12.7453	0.0858	1.7892	0.3854	0.6811	0.3361	0.0418	0.1443
Kurtosis	1.4886	3.3170	2.6650	−1.1415	−0.5598	0.1418	3.6186	2.8339	0.9054
Skewness	−0.7201	0.4522	−0.5959	−0.2593	0.6306	−0.4392	0.0042	−0.9964	−0.3458
Min	−18.5403	−9.6038	−1.1931	−0.7034	1.1085	−2.6581	−2.0800	−0.9600	−1.3300
Max	11.3982	19.6387	0.9811	4.6268	3.7195	1.5851	2.6500	0.5300	0.9400
N	253	253	253	253	253	253	253	253	253

Note(s): The table reports descriptive statistics for the state variable vector $Z_{t}$ in equations (3) and (4). The state variable vector includes CRSP equity excess return (excessR), real rate of interest (realR), treasury-bill rate changes (⁠ $Δ Tbill)$ ⁠, dividend–price ratio (dp), term spread between the ten-year and one-month treasury yields (termS), and relative bill rate (r.bill). The seventh state variable is the MP indicator variable, to which we apply three variables in turns: change in the effective FFR (⁠ $Δ$ eFFR), change in the shadow rate of Wu and Xia (2016, $Δ$ SR_WX) and change in the shadow rate of Krippner (2013, $Δ$ SR_KR)

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