Table 2 Parameter estimates for Markov Regime-Switching Model from April 2007 to June 2016
From: Investigating liquidity constraints as a channel of contagion: a regime switching approach
Parameter | Unites States | India | |
|---|---|---|---|
Crisis Return | Reachable Return | Remote Return | |
p00 | 0.1501 | 0.2546 | 0.0593 |
p11 | 0.9875 | 0.9884 | 0.9967 |
μ1 | −4.9414 (0.3428) | − 4.9776 (0.3504) | 1.9702 (0.2080) |
μ0 | 0.1083 (0.0257) | 0.1238 (0.0281) | 0.0355 (0.0074) |
σ2σ2 | 0.1925 (0.0158) | 0.2914 (0.0160) | −1.0275 (0.0151) |