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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%