Public Debt Management in Brazil



Table 10 - Covariances - Forecasting Regression

Cov(yi)/Var(i)

-0.536
(0.002)

Cov()/Var(i)

-0.016
(0.93)

Cov(ye)/V ar(e)

0.018
(0.38)

Cov()/Var(e)

-0.017
(0.45)

Cov()/V αr(π)

-0.042
(0.81)

Cov()/Var(π^)

-1.170
(0.45)

V ar(i)

0.012

Cov(ie)/Var(i)

-2.166
(0.19)

Var(e)

0.899

Cov(ie)/Var(e)

-0.027
(0.19)

V ar(π)

0.013

Cov()/V ar(π)

-0.014
(0.93)

Notes: P-values in parenthesis. Quarterly data. Variances are multiplied by 100.

Table 11 - Debt Composition - Forecasting Regressions

Risk

Risk
Significant

Risk

Selic=0

Risk+Cost
Significant

Risk+Cost
Fix=Selic=0

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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