Table 8 - Covariances - Structural Model - EMBI Shock
|
Cov(yi)/Var(i) |
-2.14 |
Cov(iπ)/Var(i) |
1.50 |
|
Cov(ye)/V ar(e) |
-0.38 |
Cov(eπ)/V ar(e) |
027 |
|
Cov(yπ)/V ar (π) |
-0.95 |
Cov(eπ)/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(iπ)/V ar(π) |
0.30 ~ |
Notes: Variances are multiplied by 1002 .
Table 9 - Debt Composition for EMBI Shock
|
Risk No hed |
Risk |
Risk |
Risk+Cost |
Risk+Cost | |
|
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).
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