Figure 1 Summary Statistics and Spread Diagnostics

Supporting analysis for the Figure 1 replication
Descriptive statistics for the three 12-month interest rate series used in Figure 1, together with a time series of the implied-minus-zero spread in basis points.
Figure 1 Summary Statistics and Spread Diagnostics

Descriptive Statistics

Period Series Mean (%) Std. Dev. (%) Min (%) Max (%) N
Full sample (1996--2022) Option-implied rate 2.680032 2.141548 0.291070 7.379879 324
Full sample (1996--2022) Zero curve rate 2.598547 2.156405 0.145554 7.342412 324
Full sample (1996--2022) Treasury rate 2.250488 2.015754 0.049988 6.175340 324
First half (1996--2009) Option-implied rate 4.090979 1.928744 0.484050 7.379879 168
First half (1996--2009) Zero curve rate 4.053036 1.897867 0.490757 7.342412 168
First half (1996--2009) Treasury rate 3.573900 1.799424 0.269636 6.175340 168
Second half (2010--2022) Option-implied rate 1.160551 1.033244 0.291070 5.045423 156
Second half (2010--2022) Zero curve rate 1.032175 1.023276 0.145554 5.078245 156
Second half (2010--2022) Treasury rate 0.825276 1.017872 0.049988 4.631090 156

Notes

Statistics are reported for the full sample and two sub-periods.

The spread is measured in basis points.