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

Table 1

Markov-switching regression in means only for sensitivity.

Parameter	Estimate	St. error	z	P > |z|	95% confidence interval
µ1	−2.408	0.163	−14.74	0.000	(−2.729, −2.088)
µ2	0.701	0.662	10.60	0.000	(0.571, 0.831)
σ	0.791	0.044			(0.709, 0.882)
p11	0.838	0.073			(0.644, 0.937)
p21	0.033	0.015			(0.014, 0.077)

The Merton case corresponds to state 1; the Kamin and von Kleist case corresponds to state 2.