Panel A: Pre-Crisis Period

Developed Countries

Measures

M.R.

S.D

SE.D.

β

Dβ

M.R.

1.0000

−0.1069

−0.2156

−0.2360

−0.2050

S.D

−0.1069

1.0000

0.9165

0.7550

0.8095

SE.D.

−0.2156

0.9165

1.0000

0.8351

0.9225

β

−0.2360

0.7550

0.8351

1.0000

0.9150

Dβ

−0.2050

0.8095

0.9225

0.9150

1.0000

Emerging Countries

Measures

M.R.

S.D

SE.D.

β

Dβ

M.R.

1.0000

−0.0110

0.0767

−0.1067

−0.2353

S.D

−0.0110

1.0000

0.9397

0.8832

0.8296

SE.D.

0.0767

0.9397

1.0000

0.8347

0.8606

β

−0.1067

0.8832

0.8347

1.0000

0.8841

Dβ

−0.2353

0.8296

0.8606

0.8841

1.0000

Frontier Countries

Measures

M.R.

S.D

SE.D.

β

Dβ

M.R.

1.0000

−0.5439

−0.7126

−0.4995

−0.4529

S.D

−0.5439

1.0000

0.8388

0.6776

0.4921

SE.D.

−0.7126

0.8388

1.0000

0.6554

0.4884