## Figure 1.6.  Term Premium Correlations, Spillovers, and Exchange Rate Relationships

## Source details

**Canonical URL:** [Figure 1.6.  Term Premium Correlations, Spillovers, and Exchange Rate Relationships](https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/csv/figure1-6.csv)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2018/april/ch1/csv/figure1-6.csv.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2018/april/ch1/csv/figure1-6.csv.json)

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### Dataset structure and content
- Worksheet name: "csv"
- Row count: 6240
- Column count: 31
- Main labeled panels (as presented in the file):
  - "1. Term Premium and Expected Rate Correlations"
  - "2. Net Pairwise Spillovers between US Term Premium and German, Japanese, and UK Term Premiums"
  - "3. Spot US Dollar Exchange Rate Betas: Euro"
  - "4. Spot US Dollar Exchange Rate Betas: Sterliing"
- Headline metric label included: "(Percent explained by first principal component)"
- Series-level column labels appearing in the sample:
  - "Two-year expected rate"
  - "5x5-year forward premium"
  - "Unconditional estimate: two-year expected rate"
  - "Unconditional estimate: 5x5-year forward premium"
  - "Series" (for spillovers/exchange rate panels)

### Key sample observations (exact values from the file)
- Date 1/10/1997:
  - Two-year expected rate: "54.51"
  - 5x5-year forward premium: "46.38"
  - Unconditional estimate: two-year expected rate: "61.04"
  - Unconditional estimate: 5x5-year forward premium: "63.16"
- Date 1/3/1994 (spillovers/exchange rate panel sample):
  - Series value: "4.43"
- Date 1/10/1997 (exchange rate beta sample):
  - Two-year expected rate: "-0.51"
  - 5x5-year forward premium: "0.22"
  - Unconditional estimate: two-year expected rate: "1.18"
  - Unconditional estimate: 5x5-year forward premium: "0.28"
- Date 1/10/1997 (Sterling panel sample):
  - Two-year expected rate: "0.46"
  - 5x5-year forward premium: "-0.40"
  - Unconditional estimate: two-year expected rate: "1.18"
  - Unconditional estimate: 5x5-year forward premium: "0.28"

### Intended analytical uses (as implied by dataset labels)
- Quantify correlations between term premiums and expected short-term interest rates (panel 1).
- Measure net pairwise spillovers between US term premium and German, Japanese, and UK term premiums (panel 2).
- Estimate spot US dollar exchange rate betas with respect to Euro and Sterling, using both 2-year expected rates and 5x5-year forward premia and their unconditional estimates (panels 3 and 4).

*Source: figure1-6 (dataset overview)*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/csv/figure1-6.csv_