Table A5.

Estimated Long-Run VAR Coefficients.

	All			IG			HY
	$r_t$	$s{t}_t$	$d{d}_t$	$r_t$	$s{t}_t$	$d{d}_t$	$r_t$	$s{t}_t$	$d{d}_t$
erG	-0.02	0.50	0.00	-0.01	0.92	0.00	0.03	0.47	-0.02
elG	0.02	0.50	0.00	0.01	0.08	0.00	-0.03	0.53	0.02
	6m - 1y			1 - 2y			2 - 3y
	$r_t$	$s{t}_t$	$d{d}_t$	$r_t$	$s{t}_t$	$d{d}_t$	$r_t$	$s{t}_t$	$d{d}_t$
erG	-0.17	0.05	0.00	-0.13	0.29	0.00	-0.12	0.62	0.00
elG	0.17	0.95	0.00	0.13	0.71	0.00	0.12	0.38	0.00
	3 - 5y			5 - 10y			10y -
	$r_t$	$s{t}_t$	$d{d}_t$	$r_t$	$s{t}_t$	$d{d}_t$	$r_t$	$s{t}_t$	$d{d}_t$
erG	0.04	0.67	0.00	0.02	0.52	0.00	-0.06	0.65	-0.01
elG	-0.04	0.33	0.00	-0.02	0.48	0.00	0.06	0.35	0.01

This table reports the VAR-implied long-run coefficients for long-run excess returns, $e_{r}G,$ and long-run credit loss, $e_{l}G,$ where $G={(I-\rho A)}^{-1}A$. The three state variables are average bond excess returns ($r_t^e$), the product of the average credit spreads and average duration ($s_t{\tau }_t$), and the average distance to default ($D{D}_t$). The sample period is weekly from July 2003 to Sep 2020.