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Campbell-Shiller regression for the maturity couple (60, 3); while, Figure 9.b (panel below) focuses
on the maturity pair (120, 3). Results are similar for other couples of maturities (
n, 3).

---p-val                                            --p-val

Table 8 shows some descriptive statistics of the estimated slope coefficient, obtained with rolling
regressions. The bottom part reports statistics computed over the entire sample (January 1964 - June
2002). The top part reports statistics worked out within each threshold regime. For any combination
of maturities (
n, m), the mean of the estimated slope coefficient is very close to unity. Moreover, the
variability of
βt is definitely lower in the sub-samples. In particular, the standard deviation of the
rolling βt estimates in the sub-regimes is approximately one-tenth of the standard deviation
computed in the single regime model.

23



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