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

Table 3

Markov-switching regression in means and standard deviations for sensitivity.

Parameter	Estimate	St. error	Z	P > |z|	95% confidence interval
µ1	−1.345	0.201	−6.68	0.000	(−1.739,−0.951)
µ2	0.842	0.142	5.94	0.000	(0.564, 1.119)
σ1	0.909	0.097			(0.739, 1.119)
σ2	0.516	0.042			(0.439, 0.606)
p11	0.837	0.048			(0.720, 0.911)
p21	0.111	0.032			(0.629, 0.190)

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