Liquidity, Asset Price Volatility, and Monetary Policy Choices: Empirical Evidence from China

Table 3

Parameter estimation of the MS-AR (2) model.

Variables	SP		HP
	Parameter estimation	P value	Parameter estimation	P value
	−17.0983^∗∗	p < 0.0500	3.1835^∗∗	p < 0.0500
	9.3499	p > 0.0500	14.1057^∗∗∗	p < 0.0001
	1.5935^∗∗∗	p < 0.0001	1.1972^∗∗∗	p < 0.0001
	−0.6458^∗∗∗	p < 0.0001	−0.3078^∗∗∗	p < 0.0001
	0.6334		0.9622
	0.9651		0.9408
	−635.5482		−352.3782
	2		2
Model	MS (2)-AR (2)		MS (2)-AR (2)
State	State 1	State 2	State 1	State 2
Duration	2.7280	28.6918	26.4593	16.8826

Note: ∗∗ and ∗∗∗ represent significance level at 5% and 1%, respectively.