COMPLETE INCOMPLETE
|
aver |
25% |
75% |
aver |
25% |
75% | |
|
Ψι,3 |
0.001 |
-0.005 |
0.006 |
1.596 |
1.396 |
1.850 |
|
Ψl,5 |
0.000 |
-0.007 |
0.008 |
2.842 |
2.381 |
3.367 |
|
*2,3 |
0.001 |
-0.006 |
0.007 |
2.103 |
1.437 |
2.629 |
|
*2,5 |
0.000 |
-0.009 |
0.009 |
4.548 |
2.841 |
5.691 |
|
Im |
-10.061 |
-10.125 |
-10.000 |
1.026 |
0.930 |
1.102 |
|
Pω,R |
-0.970 |
-0.985 |
-0.961 |
-0.370 |
-0.667 |
-0.123 |
|
σ(ωτ)/ σ(ω) |
0.746 |
0.715 |
0.792 |
0.944 |
0.879 |
1.000 |
|
σ(ΔMV)/ σ(ω) |
5.482 |
4.326 |
6.498 |
0.944 |
0.879 |
1.000 |
|
Φ*1 |
-4.450 |
-4.831 |
-4.144 |
0.990 |
0.949 |
1.043 |
|
Φ*3 |
-1.715 |
-2.141 |
-1.391 |
0.969 |
0.905 |
1.045 |
|
Φ*5 |
-0.788 |
-1.195 |
-0.523 |
0.980 |
0.880 |
1.039 |
|
Φ 10 |
-0.145 |
-0.450 |
0.042 |
1.201 |
0.798 |
1.045 |
Table Ib - Assessing Debt Management Performance Statistics - Persistent shocks
and No Capital Accumulation
Results show outcomes from IOOO simulations of 200 periods where first 150 periods are discarded and
statistics calculated on final 50 observations. "Average” denotes the average of each statistic over all 1000
simulations, 25% shows the bottom quartile outcome and 75% the third quartile. Ψ,y i = 1, 2 is the
persistence test described in the text evaluated at lag j. Im is the impact measure comparing the effect
of a shock on debt and the deficit. pω r is the correlation coefficient between primary deficit and interest
payments. σ(ωτ)/σ(ω) the ratio of the variance of the total to the primary deficit, σ(MV)/σ(ω) the ratio
of the variance changes to the market value of debt to the variance of the primary deficit. Φjj is the statistic
based on the dynamic impact of deficit shocks on debt evaluated for j periods.
33
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