1 − λ

θ₂

% change in

s.s. cons.

% change in cert. equiv. ss. cons.

−b/y

Q

% time in default

Implied def. prob. (%)

0.05

0.07

1.01

1.51

−0.55

0.98608

28.65

2.81

0.32

0.08

1.60

2.36

−0.45

0.98846

41.99

5.79

0.39

0.10

1.67

2.64

−0.40

0.98836

47.70

9.12

0.43

0.12

1.17

2.34

−0.35

0.98820

50.40

12.19

0.46

0.11

0.79

1.53

−0.41

0.98792

47.39

9.92

0.51

0.09

0.81

1.48

−0.41

0.98789

40.32

6.08