A. Summary statistics of daily repo rate

Sample period

Mean

Std

Skewness

Kurtosis

First Autocorr

1995.01-2003.12

0.0606

0.0416

0.7804

−0.4660

0.9626

1995.01-1998.12

0.0989

0.0310

0.1340

0.8521

0.8789

1999.01-2003.12

0.0283

0.0097

2.6744

13.0090

0.7757

B. Summary statistics of daily change of repo rate

Sample period

Mean

Std

Skewness

Kurtosis

First Autocorr

1995.01-2003.12

−4.38E−05

0.0114

−0.4823

18.1432

−0.1928

1995.01-1998.12

−7.46E−05

0.0152

−0.3962

9.8552

−0.1620

1999.01-2003.12

−1.79E−05

0.0065

−0.4006

35.0510

−0.3350

C. Hypothesis test for daily rate of two subperiods

: F value: 8.6169 F critical value at 1%: 1.152

result: is rejected at 1% level

: U value: 67.07 U critical value at 1%: 2.58

result: is rejected at 1% level

D. Hypothesis test for daily change of two subperiods

: F value: 4.6177 F critical value at 1%: 1.152

result: is rejected at 1% level

: U value: 0.1065 U critical value at 10%: 1.65

result: cannot be rejected at 10% level

E. Wilcoxon Rank Sum Test for daily repo rate

: U value: 71.98 critical value at 1%: 4.9

result: is rejected at 1% level

F. Wilcoxon Rank Sum Test for daily change rate of two subperiods

: U value: 14.15 critical value at 1%: 4.9

result: is rejected at 1% level