Financial Innovation

Table 4 Bond coefficients in 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

Short-term Bonds	Non-Crisis				Crisis
Regions	Mean	Median	Standard Error	Negative Coefficient	Mean	Median	Standard Error	Negative Coefficient
Developed America	−0.31	−0.31	0.19	100%	−4.44	−4.44	2.95	100%
Developed Europe	0.38	0.41	0.42	6%	−1.00	−0.69	1.38	63%
Developed Asia	0.14	0.01	0.51	40%	−0.65	−1.58	1.34	60%
Emerging America	0.36	0.34	0.37	25%	0.03	−0.22	0.85	50%
Emerging Europe	0.71	0.77	0.72	20%	−0.78	−1.89	2.38	80%
Emerging Asia	0.44	−0.00	1.31	71%	0.28	0.07	0.83	29%
Developed Market	0.27	0.36	0.46	22%	−1.23	−1.05	1.75	65%
Emerging Markets	0.51	0.12	0.93	44%	−0.11	−0.00	1.47	50%
All	0.37	0.31	0.70	31%	−0.77	−0.42	1.71	59%
Long-term Bonds	Non-Crisis				Crisis
Regions	Mean	Median	Standard Error	Negative Coefficient	Mean	Median	Standard Error	Negative Coefficient
Developed America	−0.02	−0.02	0.04	50%	−0.15	−0.15	0.08	100%
Developed Europe	−0.18	−0.19	0.18	81%	−0.13	−0.12	0.23	69%
Developed Asia	−0.12	0.02	0.38	40%	0.38	−0.17	0.92	60%
Emerging America	0.01	0.02	0.02	25%	0.10	0.07	0.43	50%
Emerging Europe	0.24	0.23	0.43	40%	0.99	0.52	1.70	20%
Emerging Asia	−0.31	−0.06	0.81	71%	−0.26	−0.22	0.28	86%
Developed Market	−0.15	−0.09	0.22	70%	−0.02	−0.13	0.49	70%
Emerging Markets	−0.06	0.00	0.61	50%	0.22	−0.11	1.07	56%
All	−0.11	−0.05	0.42	62%	0.08	−0.13	0.78	64%

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