Data

M 1

M 2

PCs of yields

share var ( P C 1 )

97.2%

95.7%

95.1%

share var ( P C 2 )

2.6%

4.1%

4.7%

share var ( P C 3 )

0.2%

0.2%

0.2%

corr ( P C 1 , z )

0.67

0.66

corr ( P C 1 , s )

0.62

0.60

corr ( P C 1 , ξ )

−0.91

−0.91

corr ( P C 1 , v )

−0.12

−0.16

corr ( P C 2 , z )

0.18

0.22

corr ( P C 2 , s )

0.30

0.31

corr ( P C 2 , ξ )

−0.28

−0.29

corr ( P C 2 , v )

0.70

0.73

corr ( P C 3 , z )

0.03

0.04

corr ( P C 3 , s )

0.25

0.27

corr ( P C 3 , ξ )

−0.30

−0.29

corr ( P C 3 , v )

−0.71

−0.66