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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)
  1. Standard error values in parenthesis