Volatility and correlations: Subperiods

In panels A and B, we present the average volatility and monthly return correlations for different periods, respectively. Given the time period, we first calculate the volatility for each country, and then we calculate the cross-sectional averages. Each color corresponds to a group of countries that kept across time. For instance, the blue bar in panel A corresponds to the group of countries used to calculate the metric whose data are available in the pre-gold period. After calculating bilateral correlations, we report the cross-sectional averages. The pre-gold (1800–1872), gold (1873–1913), interwar (1919–1938), Bretton Woods (1949–1972), and the Great Moderation (1985–2006) periods, and the whole sample period (1800–2010) are considered. Volatility is calculated as the standard deviation of the previous 12 winsorized monthly real returns, scaled by |$\sqrt{12}$|⁠, and the whole sample includes 60 countries. The total number of countries for which we have data and used to calculate averages/correlations in a given time period is reported on top of each bar. Emerging and developed countries’ classifications are adopted from the IMF definition.