Table 10 - Covariances - Forecasting Regression
|
Cov(yi)/Var(i) |
-0.536 |
Cov(iπ)/Var(i) |
-0.016 |
|
Cov(ye)/V ar(e) |
0.018 |
Cov(eπ)/Var(e) |
-0.017 |
|
Cov(yπ)/V αr(π) |
-0.042 |
Cov(eπ)/Var(π^) |
-1.170 |
|
V ar(i) |
0.012 |
Cov(ie)/Var(i) |
-2.166 |
|
Var(e) |
0.899 |
Cov(ie)/Var(e) |
-0.027 |
|
V ar(π) |
0.013 |
Cov(iπ)/V ar(π) |
-0.014 |
Notes: P-values in parenthesis. Quarterly data. Variances are multiplied by 100.
Table 11 - Debt Composition - Forecasting Regressions
|
Risk |
Risk |
Risk Selic=0 |
Risk+Cost |
Risk+Cost | |
|
Selic Rate |
-0.72 |
-0.73 |
0 |
-0.42 |
0 |
|
Foreign Exch |
0.00 |
0.00 |
0.0 |
0.01 |
0.01 |
|
Price Index |
130 |
136 |
135 |
156 |
0.99 |
|
Fixed Rate |
0.42 ~ |
0.37 ~ |
-0.35 |
-0.15 ^ |
0 ~~ |
Notes: The debt composition is derived assuming a that the 1-year ahead conditional vari-
ances are four times the 3-month ahead conditional variances.
27
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