Table 2 Two-year term premia cross correlations. Source Authors’ calculations
From: Inflation targeting and term premia estimates for Latin America
| Â | US | Brazil | Chile | Colombia | Mexico | Peru |
|---|---|---|---|---|---|---|
US | \(1\) | Â | Â | Â | Â | Â |
− |  |  |  |  |  | |
Brazil | \(0.41\) | \(1\) | Â | Â | Â | Â |
\((4.34)\) | − |  |  |  |  | |
Chile | \(-0.49\) | \(0.20\) | \(1\) | Â | Â | Â |
\((5.62)\) | \((1.99)\) | − |  |  |  | |
Colombia | \(0.70\) | \(0.48\) | \(-0.30\) | \(1\) | Â | Â |
\((9.57)\) | \((5.28)\) | \((3.01)\) | − |  |  | |
Mexico | \(0.40\) | \(0.39\) | \(-0.17\) | \(0.83\) | \(1\) | Â |
\((4.38)\) | \((4.12)\) | \((1.68)\) | \((14.70)\) | − |  | |
Peru | \(-0.09\) | \(0.37\) | \(0.29\) | \(0.29\) | \(0.49\) | \(1\) |
\((0.88)\) | \((3.89)\) | \((2.96)\) | \((3.00)\) | \((5.46)\) | − |