Public Debt Management in Brazil



Table 4 - Covariances - Structural Model - Demand Shock

Cov(yi)/Var(i)

12.9

Cov(iπ)/Var(i)

0.76

Cov(ye)/V ar(e)

-10.7

Cov()/Var(e)

-0.63

Cov()/V αr(π)

113

Cov()/Var(π^)

-0.70

Var (г)

0.038

Cov(ie)/Var(i)

-0.80

Var(e)

0.054

Cov(ie)/Var(e)

-0.56

Var(π)

0.049  ~

Cov()/V ar(π)

0.58   ~

Notes: Variances are multiplied by 1002 .

Table 5 - Debt Composition for Demand Shock

Risk

No hedge

Risk

Risk
Fix=For=0

Risk+Cost

Risk+Cost

Fix=For=0

Selic Rate

18.1

7.5

-3.3

8.3

-3.2

Foreign Exch

-15.3

-6.2

0

-5.1

0

Price Index

16.6

7.9

4.3

8.3

4.2

Fixed Rate

-18.6

-8.1

0     ~

-10.5    '

0     ~

Notes: The debt composition is derived from equations (19)-(21).

24



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