Table 2 Correlation coefficient FF4 E X...

Table 2

Correlation coefficient

	FF4	$E X O_{L S}$	$F I S_{L S}$	$E X O_{J K}$	$F I S_{J K}$
FF4	1
$E X O_{L S}$	0.90***	1
$F I S_{L S}$	0.47***	0.03	1
$E X O_{J K}$	0.83***	0.79***	0.30***	1
$F I S_{J K}$	0.32***	0.22***	0.27***	0.02	1

	FF4	$E X O_{L S}$	$F I S_{L S}$	$E X O_{J K}$	$F I S_{J K}$
FF4	1
$E X O_{L S}$	0.90***	1
$F I S_{L S}$	0.47***	0.03	1
$E X O_{J K}$	0.83***	0.79***	0.30***	1
$F I S_{J K}$	0.32***	0.22***	0.27***	0.02	1

Note(s): The table reports correlation coefficients among the five external MP instruments. FF4 is the high-frequency price change of the three-month ahead Fed fund futures around FOMC announcements. $E X O_{L S} a n d F I S_{L S} (E X O_{J K} and F I S_{J K})$ are its decomposition into exogenous MP shock and Fed information shock by Lakdawala and Schaffer (2019), respectively (Jarocinski and Karadi, 2020). *** denotes significance at the 1% levels

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