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Table 3 Detailed results of markov switching regressions

From: Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis

Parameters Samples AIC Standard Error Transition Possibility
Status    Status 1 Status 2 p11 p12 p21 p22
Argentina 368 −1474 0.001a 0.003a 0.982a 0.040a 0.018a 0.960a
Austria 508 −2303 0.000a 0.002a 0.974a 0.050a 0.026a 0.950a
Australia 508 −2756 0.000a 0.001a 0.970a 0.033a 0.030a 0.967a
Belgium 508 −2519 0.000a 0.001a 0.978a 0.047a 0.022a 0.953a
Brazil 364 −1534 0.001a 0.002a 0.978a 0.115a 0.022a 0.885a
Canada 508 −2670 0.000a 0.001a 0.970a 0.081a 0.030a 0.919a
Switzerland 508 −2620 0.000a 0.001a 0.975a 0.064a 0.025a 0.936a
Chile 432 −2155 0.000a 0.001a 0.973a 0.059a 0.027a 0.941a
China 293 −1165 0.000a 0.002a 1.000a 0.006a 0.000 0.994a
Czech 508 −2396 0.000a 0.002a 0.972a 0.095a 0.028a 0.905a
Germany 508 −2363 0.000a 0.002a 0.987a 0.050a 0.013a 0.950a
Denmark 508 −2462 0.000a 0.001a 0.972a 0.076a 0.028a 0.924a
Spain 508 −2399 0.000a 0.001a 0.970a 0.053a 0.030a 0.947a
Finland 508 −2297 0.000a 0.001a 0.977a 0.039a 0.023a 0.961a
France 508 −2432 0.000a 0.001a 0.955a 0.061a 0.045a 0.939a
Greece 508 −2168 0.000 0.002a 0.991a 0.005a 0.009a 0.995a
Hungary 508 −2215 0.000a 0.002a 0.981a 0.068a 0.019a 0.932a
Indonesia 465 −2061 0.000a 0.003a 0.978a 0.145a 0.022a 0.855a
Ireland 503 −2363 0.000a 0.002a 0.970a 0.054a 0.030a 0.946a
Israel 503 −2394 0.000a 0.001a 0.991a 0.028a 0.009a 0.972a
India 507 −2181 0.000a 0.002a 0.990a 0.028a 0.010a 0.972a
Italy 507 −2391 0.000a 0.001a 0.982a 0.024a 0.018a 0.976a
Japan 508 −2330 0.000a 0.003a 0.991a 0.116a 0.009a 0.884a
Korea 508 −2307 0.000a 0.002a 0.979a 0.053a 0.021a 0.947a
Mexico 294 −1335 0.000a 0.002a 0.987a 0.045a 0.013a 0.955a
Netherlands 508 −2401 0.000a 0.001a 0.964a 0.064a 0.036a 0.936a
Norway 508 −2322 0.000a 0.002a 0.979a 0.070a 0.021a 0.930a
New Zealand 508 −2981 0.000a 0.000a 0.945a 0.157a 0.055a 0.843a
Poland 508 −2210 0.000a 0.002a 0.983a 0.051a 0.017a 0.949a
Portugal 508 −2580 0.000a 0.001a 0.969a 0.057a 0.031a 0.943a
Russia 170 −633 0.001a 0.004a 0.990a 0.066a 0.010a 0.934a
Sweden 508 −2429 0.000a 0.001a 0.981a 0.041a 0.019a 0.959a
Thailand 508 −2277 0.001a 0.004a 0.993a 0.202a 0.007a 0.798a
Turkey 172 −732 0.001a 0.000a 0.968a 0.861a 0.032a 0.139a
Taiwan 507 −2322 0.000a 0.001a 0.982a 0.035a 0.018a 0.965a
UK 508 −2640 0.000a 0.001a 0.976a 0.052a 0.024a 0.948a
US 508 −2686 0.000a 0.001a 0.987a 0.046a 0.013a 0.954a
Vietnam 309 −1107 0.000a 0.003a 0.896a 0.120a 0.104a 0.880a
South Africa 508 −2451 0.000a 0.001a 0.986a 0.041a 0.014a 0.959a
Parameters Intercept Lag of Stock Short-term Bond Long-term Bond
Status Status 1 Status 2 Status 1 Status 2 Status 1 Status 2 Status 1 Status 2
Argentina 0.003a −0.004a 0.165a 0.101a −0.047a 0.128a 0.023a −0.393a
Austria 0.005a −0.006a 0.214a 0.103a 0.491a −1.399a −0.327a −0.244a
Australia 0.003a −0.001a 0.261a 0.006a 0.015a −1.638a 0.028a −0.183a
Belgium 0.003a −0.003a 0.190a 0.166a 0.359a −1.125a −0.165a −0.025a
Brazil 0.002a −0.015a 0.196a −0.138a 0.819a 1.187a 0.025a 0.631a
Canada 0.003a −0.001a 0.109a 0.060a −0.172a −2.359a 0.012a −0.205a
Switzerland 0.003a −0.005a 0.114a −0.080a 0.410a −1.767a −0.171a 0.044a
Chile 0.004a −0.003a 0.192a 0.100a 0.204a −0.577a 0.028a −0.062a
China −0.002a 0.002a 0.146a 0.199a 3.415a −0.809a −2.131a −0.743a
Czech 0.004a −0.006a 0.246a 0.206a 0.219a −2.789a −0.191a 0.120a
Germany 0.003a 0.001a 0.093a −0.011a 0.339a −2.758a −0.308a −0.149a
Denmark 0.004a 0.000a 0.111a 0.108a 0.410a −3.466a −0.206a 0.045a
Spain 0.002a −0.004a 0.215a 0.055a 0.308a 0.171a 0.011a 0.117a
Finland 0.003a −0.004a 0.216a 0.092a 0.633a 0.342a −0.532a −0.539a
France 0.003a −0.003a 0.132a 0.013a 0.589a 0.081a −0.251a −0.362a
Greece 0.003a −0.007 0.241 0.212a 0.899 −0.151a −0.396a 0.197a
Hungary 0.003a −0.009a 0.208a 0.062a −0.117a 3.166a 0.232a −0.497a
Indonesia 0.007a −0.020a 0.153a −0.258a −0.002a 0.022a −0.080a −0.464a
Ireland 0.004a −0.008a 0.165a 0.135a 0.034a 0.304a 0.039a −0.436a
Israel 0.003a −0.002a 0.151a 0.141a −0.171a 0.713a 0.184a −0.170a
India 0.004a −0.002a 0.251a 0.109a 0.042a 0.072a −0.056a −0.246a
Italy 0.001a −0.004a 0.218a 0.127a 1.021a −0.961a −0.009a 0.226a
Japan 0.001a −0.011a 0.097a 0.070a 1.004a −1.676a −0.787a 1.407a
Korea 0.005a −0.005a 0.143a 0.156a −0.303a −1.576a −0.070a 1.348a
Mexico 0.002a 0.000a 0.167a 0.026a 0.474a −0.635a −0.018a 0.210a
Netherlands 0.002a 0.001a 0.214a 0.022a 0.631a −4.025a −0.268a −0.116a
Norway 0.006a −0.007a 0.227a 0.030a −0.874a −1.047a −0.045a −0.041a
New Zealand 0.002a −0.003a 0.288a 0.206a 0.179a 0.910a 0.022a −0.501a
Poland 0.002a −0.001a 0.166a 0.084a 0.906a −2.034a −0.049a 0.907a
Portugal 0.003a −0.007a 0.244a 0.108a 0.438a 0.074a 0.140a −0.183a
Russia 0.000a 0.004a 0.186a 0.192a 1.753a −0.353a 0.923a 0.518a
Sweden 0.004a −0.002a 0.090a 0.009a 0.015a 0.091a −0.239a −0.432a
Thailand 0.003a −0.041a 0.206a −0.265a −0.041a 0.594a −0.028a −0.150a
Turkey 0.005a −0.055a 0.056a 2.663a 0.772a −1.889a 0.261a 3.885a
Taiwan 0.003a −0.003a 0.170a 0.088a −0.002a −0.031a 0.029a 0.163a
UK 0.002a −0.002a 0.179a 0.055a 0.405a −0.418a −0.086a −0.128a
US 0.003a 0.002a 0.150a 0.022a −0.439a −6.529a −0.048a −0.094a
Vietnam −0.003a 0.005a 0.276a 0.333a −0.182a 0.247a −0.077a −0.221a
South Africa 0.004a −0.007a 0.155a 0.015a −0.120a 1.894a 0.207a −0.182a
  1. ameans significance with 10% confidential interval