“…The index offers the advantage that, unlike, e.g., GDP or the unemployment rate, the data is provided daily, corresponding to the daily frequency of our dependent variables. Due to its high frequency, the index is increasingly used in academic research (see, e.g., Caporin et al, 2022;Da et al, 2014). Note: This table reports the descriptive statistics (number of observations, mean, standard deviation, minimum, 25 th percentile, median, 75 th percentile, and maximum) for the full sample.…”