Public Debt Management in Brazil



Table 8 - Covariances - Structural Model - EMBI Shock

Cov(yi)/Var(i)

-2.14

Cov()/Var(i)

1.50

Cov(ye)/V ar(e)

-0.38

Cov()/V ar(e)

027

Cov()/V ar (π)

-0.95

Cov()/V ar(π)

165

V ar(i)

0.038

Cov(ie)∕Var(i)

3.71

Var(e)

1.187

Cov(ie)/Var(e)

0.12

V ar(π)

0.194 ~~

Cov()/V ar(π)

0.30   ~

Notes: Variances are multiplied by 1002 .

Table 9 - Debt Composition for EMBI Shock

Risk

No hed

Risk

Risk
Sel=For=0

Risk+Cost

Risk+Cost
Selic=For=0

Selic Rate

-0.86

-1.24

0

-0.79

0

Foreign Exchange

-0.15

-0.22

0

-0.25

0

Price Index

0.07

0.80

0.07

0.76

ÔÔÏ

Fixed Rate

1.95

1.66

0.93    ^

1.28  ~~

0.89   ~~

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

26



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