Capital Gains Sensitivity of US BBB-Rated Debt to US Treasury Market: Markov-Switching Analyses

Figure 9

Spread-to-risk-free rate dynamics compared to observed yields. (a) Negative spread-to-rate sensitivity in distress compared to null sensitivity in “normal” times. (b) US BBB-rated (blue) and UST (red) bond yields.

(a)

(b)