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

Table 4

Markov-switching regression in means only for the US BBB portfolio hedged by shorting UST bonds.

Parameter	Estimate	St. error	z	P > |z|	95% confidence interval
µ1	−11.397	4.038	−2.82	0.005	(−19.312,−3.483)
µ2	134.794	14.953	9.01	0.000	(105.486, 164.102)
σ	47.034	2.556			(42.281, 52.321)
p11	0.988	0.009			(0.951, 0.997)
p21	0.104	0.068			(0.027, 0.326)

State 1 is the Merton case; state 2 is the Kamin and von Kleist case.