An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
研究了美国股票和债券收益联合分布在体制转换动态下的计量经济学模型，发现一个四状态模型（崩盘、缓慢增长、牛市、复苏）能更好地捕捉其联合分布，且崩盘状态几乎总是以约50%的概率转向复苏状态，呈现反弹效应。
Abstract This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two‐ or three‐state models capture the univariate dynamics in bond and stock returns, a more complicated four‐state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution. The transition probability matrix of this model has a very particular form. Exits from the crash state are almost always to the recovery state and occur with close to 50% chance, suggesting a bounce‐back effect from the crash to the recovery state. Copyright © 2006 John Wiley & Sons, Ltd.