|
Constant |
Maturity |
Fixed |
FX |
Indexed |
R2 | |
|
ψ.. » |
0.00 |
0.062 |
0.325 |
-0.334 |
-5.956 |
0.27 |
|
ψ1,2 |
(0.99) |
(0.33) |
(0.49) |
(0.71) |
(-0.09) | |
|
Ψ-. , |
0.61 |
0.222 |
-0.270 |
-1.664 |
-19.39 |
0.43 |
|
ψ1,3 |
(0.48) |
(0.15) |
(0.79) |
(0.42) |
(0.03) | |
|
ψ-. c, |
1.41 |
0.324 |
-1.511 |
-3.099 |
-25.25 |
0.29 |
|
ψ1,5 |
(0.29) |
(0.16) |
(0.35) |
(0.33) |
(0.05) | |
|
Ψ,. |
-0.15 |
0.075 |
0.479 |
-0.663 |
-6.853 |
0.17 |
|
2,2 |
(0.76) |
(0.36) |
(0.44) |
(0.58) |
(-1.840) | |
|
ψo, |
-0.83 |
0.478 |
0.467 |
-2.921 |
-32.503 |
0.41 |
|
ψ2,3 |
(0.58) |
(0.09) |
(0.79) |
(0.42) |
(0.03) | |
|
Ψ2,5 |
0.50 |
0.542 |
-0.933 |
-3.800 |
-37.134 |
0.29 |
|
(0.78) |
(0.11) |
(0.67) |
(0.39) |
(0.05) | ||
|
Im |
0.59 |
-0.115 |
1.240 |
-0.159 |
1.691 |
0.01 |
|
(0.39) |
(0.31) |
(0.16) |
(0.92) |
(0.75) | ||
|
φ*1 |
1.03 |
-0.094 |
0.509 |
-0.201 |
-1.680 |
0 |
|
1 |
(0.17) |
(0.41) |
(0.54) |
(0.90) |
(0.76) | |
|
Φ*3 |
0.74 |
0.005 |
0.006 |
0.097 |
-5.166 |
-0.34 |
|
(0.31) |
(0.97) |
(0.97) |
(0.95) |
(0.37) | ||
|
Φ*5 |
0.90 |
-0.003 |
-0.212 |
-0.126 |
-3.997 |
-0.55 |
|
5 |
(0.40) |
(0.99) |
(0.87) |
(0.96) |
(0.63) |
Table 6 - Portfolio Determinants of Fiscal Insurance
Table shows regression results of Pi = a+bxMaturityiPcFixedi+dForeignCurrencyiPeIndexedi
where Pi is the variable listed in the first column, M aturityi is the average maturity length of bonds for
country i in our sample, Fixedi the proportion of government debt that is fixed rate, ForeignCurrency
the proportion of debt that is issued in foreign currency terms and Indexedi the proportion of indexed
bonds issued. Number in each cell is the estimated coefficient and in parantheses the p-value of significance
for each variable.
39
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