## figure1-6

## Source details

**Canonical URL:** [figure1-6](https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/pdf/figure1-6.pdf)

## Other formats

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

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### Term premium correlations and principal component
- Panel 1 title: "Term Premiums and Expected Rate Correlations"
- Measure: "Percent explained by first principal component"
- Time axis labels (as in figure): 199498200206101418; 19979920010305070911131517
- Vertical axis ticks and labels shown in figure: 30, 40, 50, 60, 70, 80, 90
- Finding (text from source): "Term premiums in major advanced economies move very closely together even as market expectations of policy rate paths diverge."

### Net pairwise spillovers (US term premium vs German, Japanese, UK)
- Panel 2 title: "Net Pairwise Spillovers between the US Term Premium and German, Japanese, and UK Premiums"
- Measure: "(Percent)"
- Direction convention (note from figure): "In panel 2, a positive (negative) value indicates that the US term premium is a shock transmitter (receiver) to German, Japanese, and UK term premiums."
- Shown numeric axis labels in figure: –15, 25, 15, –10, –5, 5, 10, 0, 20
- Finding (text from source): "Spillovers between G4 term premiums are elevated, with the United States dominating the direction."
- Definition: "G4 = Group of Four (Germany, Japan, United Kingdom, United States)."

### Spot US dollar exchange rate betas
- Panel 3 title: "Spot US Dollar Exchange Rate Betas: Euro"
- Panel 4 title: "Spot US Dollar Exchange Rate Betas: British Pound"
- Time axis labels (as in figure): 19979920010305070911131517
- Vertical axis ticks and labels shown in figure: –2, 6, 1, 0, –1, 5, 4, 3, 2
- Finding (text from source): "Short rates dominate movements in exchange rates between the euro-US dollar ... and the sterling-US   dollar cross rates."

Sources: Bloomberg Finance L.P.; and IMF staff estimates.
Note: The dotted horizontal lines denote unconditional sample estimates.

*Source: figure1-6 (figure content and captions from provided PDF).*

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