**Table A1. Summary statistics of VAR variables**

||Var|Obs.|Mean|S.D.||Var|Obs.|Mean|S.D.||Var|Obs.|Mean|S.D.|
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|BRA|IP|216|4.67|0.08|CHL|IP|240|4.49|0.12|MEX|IP|240|4.57|0.06|
||CPI|216|4.33|0.30||CPI|240|4.34|0.19||CPI|240|4.26|0.24|
||MP|216|12.64|4.71||MP|240|3.79|1.62||MP|240|6.79|3.27|
||R1D|216|12.58|4.70||R1D|240|4.13|2.27||R1D|240|7.07|3.31|
||FX|216|0.92|0.28||FX|240|6.36|0.14||FX|240|2.55|0.24|
||S|216|10.71|0.58||S|240|9.50|0.57||S|240|10.60|0.64|
|IND|IP|192|4.57|0.24|HUN|IP|240|4.43|0.20|IDN|IP|228|4.65|0.21|
||CPI|192|4.53|0.33||CPI|240|6.90|0.23||CPI|228|4.17|0.35|
||MP|192|6.77|1.04||MP|240|6.01|3.67||MP|228|8.21|3.24|
||R1D|192|6.69|1.55||R1D|240|5.95|3.84||R3M|228|8.63|3.23|
||FX|192|3.98|0.19||FX|240|5.45|0.17||FX|228|9.26|0.18|
||S|192|8.59|0.53||S|240|9.80|0.52||S|228|7.72|0.92|
|PHL|IP|180|4.24|0.22|POL|IP|216|4.36|0.31|RUS|IP|180|4.52|0.12|
||CPI|180|4.41|0.15||CPI|216|5.04|0.11||CPI|180|4.31|0.35|
||MP|180|4.60|1.41||MP|216|3.79|1.95||MP|180|9.58|2.16|
||R1D|180|4.52|3.25||R1D|216|5.37|3.60||R1D|180|6.50|3.17|
||FX|180|3.85|0.09||FX|216|1.21|0.15||FX|180|3.64|0.37|
||S|180|8.43|0.50||S|216|7.69|0.27||S|180|7.33|0.35|
|ROU|IP|204|4.43|0.21|TUR|IP|240|4.27|0.34|PER|IP|228|4.39|0.18|
||CPI|204|4.57|0.21||CPI|240|5.07|0.61||CPI|228|4.43|0.13|
||MP|204|7.15|5.48||MP|240|25.83|17.48||MP|228|3.67|1.09|
||R1D|204|5.15|3.58||R1D|240|20.47|31.77||R1D|228|3.93|1.80|
||FX|204|1.20|0.17||FX|240|0.61|0.51||FX|228|7.02|0.09|
||S|204|8.64|0.43||S|240|6.03|0.77||S|228|10.11|0.71|
|UKR|IP|216|4.74|0.14|THA|IP|240|4.41|0.26|USA|GDP|240|9.66|0.11|
||CPI|216|4.60|0.63||CPI|240|4.45|0.14||CPI|240|5.37|0.12|
||MP|216|11.35|5.01||MP|240|2.20|0.97||MP|240|1.04|2.61|
||R1D|216|5.37|3.60||R3M|240|2.54|0.96||R3M|240|1.67|1.83|
||FX|216|2.25|0.65||FX|240|3.57|0.12||FX|240|4.70|0.09|
||S|216|5.80|0.80||S|240|6.74|0.56||S|240|9.49|0.34|
|DEU|IP|240|4.53|0.09|GBP|GDP|240|4.44|0.09|JPN|IP|240|4.63|0.07|
||CPI|240|4.47|0.08||CPI|240|4.49|0.13||CPI|240|4.57|0.02|
||R1Y|230|1.66|1.86||MP|240|2.62|2.22||MP|240|1.49|0.13|
||R10Y|235|2.71|1.73||R1Y|240|6.95|1.50||R10Y|240|0.96|0.62|
||FX|240|0.18|0.14||FX|240|0.45|0.13||FX|240|4.66|0.13|
||S|240|8.84|0.40||S|240|8.66|0.18||S|240|9.52|0.31|
|CAN|GDP|240|14.31|0.11|SWE|IP|240|4.67|0.07|KOR|IP|240|4.37|0.19|
||CPI|240|4.75|0.10||CPI|240|5.70|0.07||CPI|240|4.42|0.15|
||MP|240|1.81|1.70||MP|236|1.64|1.66||MP|240|3.06|1.27|
||R3M|240|1.97|1.48||R3M|240|1.57|1.72||R10Y|240|4.35|1.76|
||FX|240|0.20|0.15||FX|240|2.06|0.15||FX|240|7.02|0.09|
||S|240|9.36|0.26||S|240|5.81|0.38||S|240|10.05|0.75|
|CHN|IP|240|5.11|0.67|MYS|IP|240|4.44|0.19|ZAF|IP|216|4.58|0.05|
||CPI|240|4.35|0.15||CPI|240|4.59|0.14||CPI|216|4.07|0.27|
||MP|239|3.11|0.32||MP|240|3.05|0.37||MP|216|7.59|2.30|
||R1D|240|2.27|0.71||R1Y|240|3.03|0.39||R1Y|216|7.49|1.84|
||NEER|240|4.63|0.11||NEER|240|4.56|0.07||FX|216|2.22|0.29|
||S|240|7.74|0.36||S|240|7.10|0.36||S|216|10.26|0.61|

Note: IP (GDP) represents the log of seasonally adjusted industrial production (monthly GDP). CPI is the log of the seasonally adjusted consumer price index. MP refers to domestic policy interest rates (in percent). R represents interest rates (1D: overnight, 3M: 3-month, 1Y: 1-year, and 10Y: 10-year government bond yields, respectively) (in percent). FX is the log of the nominal foreign exchange rate against one unit of the US dollar. NEER is the nominal effective exchange rate, and S is the log of the domestic stock price index.

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