| Change in the isk-Free Rate | Aaa Corporate Bond Excess Return | Aa Corporate Bond Excess Return | A Corporate Bond Excess Return | Baa Corporate Bond Excess Return | Low Grade Corporate Bond Excess Return | Value -Weighted CRSP Stock Excess Return | Equal -Weighted CRSP Stock Excess Return | 30 Year CRSP Government Bond Excess Return | 10 Year CRSP Government Bond Excess Return | 1 Year CRSP Government Bond Excess Return | |
| 1970:1-2011:12 | |||||||||||
| Change in the Risk-Free Rate | 1 | −0.08 | −0.10 | −0.14 | −0.16 | −0.11 | −0.14 | −0.16 | −0.04 | −0.05 | −0.16 |
| Aaa Corporate Bond Excess Return | −0.08 | 1 | 0.92 | 0.89 | 0.80 | 0.41 | 0.27 | 0.17 | 0.81 | 0.83 | 0.44 |
| Aa Corporate Bond Excess Return | −0.10 | 0.92 | 1 | 0.94 | 0.85 | 0.48 | 0.32 | 0.25 | 0.73 | 0.77 | 0.43 |
| A Corporate Bond Excess Return | −0.14 | 0.89 | 0.94 | 1 | 0.91 | 0.52 | 0.35 | 0.29 | 0.73 | 0.75 | 0.38 |
| Baa Corporate Bond Excess Return | −0.16 | 0.80 | 0.85 | 0.91 | 1 | 0.60 | 0.44 | 0.40 | 0.61 | 0.66 | 0.29 |
| Low Grade Corporate Bond Excess Return | −0.11 | 0.41 | 0.48 | 0.52 | 0.60 | 1 | 0.54 | 0.59 | 0.17 | 0.24 | 0.09 |
| Value -Weighted CRSP Stock Excess Return | −0.14 | 0.27 | 0.32 | 0.35 | 0.44 | 0.54 | 1 | 0.86 | 0.10 | 0.10 | −0.09 |
| Equal -Weighted CRSP Stock Excess Return | −0.16 | 0.17 | 0.25 | 0.29 | 0.40 | 0.59 | 0.86 | 1 | 0.00 | −0.01 | −0.05 |
| 30 Year CRSP Government Bond Excess Return | −0.04 | 0.81 | 0.73 | 0.73 | 0.61 | 0.17 | 0.10 | 0.00 | 1 | 0.89 | 0.46 |
| 10 Year CRSP Government Bond Excess Return | −0.05 | 0.83 | 0.77 | 0.75 | 0.66 | 0.24 | 0.10 | −0.01 | 0.89 | 1 | 0.55 |
| 1 Year CRSP Government Bond Excess Return | −0.16 | 0.44 | 0.43 | 0.38 | 0.29 | 0.09 | −0.09 | −0.05 | 0.46 | 0.55 | 1 |
| 1970:1-1989:12 | |||||||||||
| Change in the Risk-Free Rate | 1 | −0.11 | −0.15 | −0.21 | −0.25 | −0.22 | −0.21 | −0.21 | −0.06 | −0.08 | −0.24 |
| Aaa Corporate Bond Excess Return | −0.11 | 1 | 0.91 | 0.89 | 0.85 | 0.67 | 0.37 | 0.25 | 0.85 | 0.85 | 0.60 |
| Aa Corporate Bond Excess Return | −0.15 | 0.91 | 1 | 0.93 | 0.83 | 0.69 | 0.40 | 0.31 | 0.78 | 0.78 | 0.60 |
| A Corporate Bond Excess Return | −0.21 | 0.89 | 0.93 | 1 | 0.87 | 0.70 | 0.43 | 0.35 | 0.76 | 0.76 | 0.55 |
| Baa Corporate Bond Excess Return | −0.25 | 0.85 | 0.83 | 0.87 | 1 | 0.70 | 0.47 | 0.40 | 0.72 | 0.72 | 0.50 |
| Low Grade Corporate Bond Excess Return | −0.22 | 0.67 | 0.69 | 0.70 | 0.70 | 1 | 0.54 | 0.50 | 0.53 | 0.56 | 0.40 |
| Value -Weighted CRSP Stock Excess Return | −0.21 | 0.37 | 0.40 | 0.43 | 0.47 | 0.54 | 1 | 0.87 | 0.33 | 0.29 | 0.14 |
| Equal -Weighted CRSP Stock Excess Return | −0.21 | 0.25 | 0.31 | 0.35 | 0.40 | 0.50 | 0.87 | 1 | 0.19 | 0.14 | 0.11 |
| 30 Year CRSP Government Bond Excess Return | −0.06 | 0.85 | 0.78 | 0.76 | 0.72 | 0.53 | 0.33 | 0.19 | 1 | 0.88 | 0.55 |
| 10 Year CRSP Government Bond Excess Return | −0.08 | 0.85 | 0.78 | 0.76 | 0.72 | 0.56 | 0.29 | 0.14 | 0.88 | 1 | 0.63 |
| 1 Year CRSP Government Bond Excess Return | −0.24 | 0.60 | 0.60 | 0.55 | 0.50 | 0.40 | 0.14 | 0.11 | 0.55 | 0.63 | 1 |
| 1989:1-2011:12 | |||||||||||
| Change in the Risk-Free Rate | 1 | 0.03 | 0.03 | 0.03 | 0.05 | 0.03 | 0.01 | −0.05 | 0.02 | 0.03 | −0.11 |
| Aaa Corporate Bond Excess Return | 0.03 | 1 | 0.94 | 0.88 | 0.76 | 0.19 | 0.14 | 0.05 | 0.79 | 0.81 | 0.32 |
| Aa Corporate Bond Excess Return | 0.03 | 0.94 | 1 | 0.95 | 0.88 | 0.33 | 0.24 | 0.18 | 0.69 | 0.74 | 0.30 |
| A Corporate Bond Excess Return | 0.03 | 0.88 | 0.95 | 1 | 0.94 | 0.40 | 0.27 | 0.23 | 0.70 | 0.75 | 0.26 |
| Baa Corporate Bond Excess Return | 0.05 | 0.76 | 0.88 | 0.94 | 1 | 0.54 | 0.40 | 0.39 | 0.51 | 0.58 | 0.13 |
| Low Grade Corporate Bond Excess Return | 0.03 | 0.19 | 0.33 | 0.40 | 0.54 | 1 | 0.56 | 0.68 | −0.08 | −0.03 | −0.08 |
| Value -Weighted CRSP Stock Excess Return | 0.01 | 0.14 | 0.24 | 0.27 | 0.40 | 0.56 | 1 | 0.85 | −0.12 | −0.12 | −0.26 |
| Equal -Weighted CRSP Stock Excess Return | −0.05 | 0.05 | 0.18 | 0.23 | 0.39 | 0.68 | 0.85 | 1 | −0.20 | −0.20 | −0.19 |
| 30 Year CRSP Government Bond Excess Return | 0.02 | 0.79 | 0.69 | 0.70 | 0.51 | −0.08 | −0.12 | −0.20 | 1 | 0.91 | 0.40 |
| 10 Year CRSP Government Bond Excess Return | 0.03 | 0.81 | 0.74 | 0.75 | 0.58 | −0.03 | −0.12 | −0.20 | 0.91 | 1 | 0.51 |
| 1 Year CRSP Government Bond Excess Return | −0.11 | 0.32 | 0.30 | 0.26 | 0.13 | −0.08 | −0.26 | −0.19 | 0.40 | 0.51 | 1 |