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

Table 5

Markov switching regression in means and standard deviations for the US BBB portfolio hedged by shorting UST.

Parameter	Estimate	St. error	z	P > |z|	95% confidence interval
µ1	−13.258	3.812	−3.47	0.001	(−20.745,−5.771)
µ2	119.439	18.024	6.63	0.000	(84.112, 154.766)
σ1	42.970	2.556			(38.241, 48.283)
σ2	69.012	9.987			(51.969, 91.644)
p11	0.987	0.009			(0.949, 0.997)
p21	0.087	0.057			(0.023, 0.280)

Merton case: state 1; Kamin and von Kleist case: state 2.