## Population correlation coefficients to consider.
R = seq(-0.9, 0.9, 0.1)

## Sample size.
n = 20

## Number of simulation replications.
nrep = 1e3

B = array(0, c(length(R),4))

## Loop over the different population correlation coefficients.
for (j in 1:length(R)) {

  r = R[j]

  ## Generate nrep sample correlation coefficients.
  C = array(0, nrep)
  for (i in 1:nrep) {
    X = rnorm(n)
    Y = r*X + sqrt(1-r^2)*rnorm(n)
    C[i] = cor(X,Y)
  }

  ## Bias, MSE, and variance.
  B[j,] = c(r, mean(C)-r, mean((C-r)^2), var(C))
}