|
Constant |
Variable |
Fixed Long |
Fixed Short |
FX |
Indexed |
R2 | |
|
Ψl,2 |
0.36 |
-0.646 |
0.227 |
1.388 |
0.767 |
-6.147 |
0.19 |
|
(0.58) |
(0.69) |
(0.80) |
(0.60) |
(0.57) |
(0.24) | ||
|
Ψl,3 |
0.96 |
0.626 |
0.539 |
2.467 |
1.143 |
-14.369 |
-0.15 |
|
(0.63) |
(0.90) |
(0.85) |
(0.76) |
(0.77) |
(0.34) | ||
|
Ψl,5 |
1.20 |
2.415 (0.72) |
0.326 |
3.337 |
1.311 (0.81) |
-17.866 (0.39) |
-0.32 |
|
Ψ2,2 |
0.06 |
-0.183 |
0.729 |
2.414 |
0.881 |
-7.291 |
-0.01 |
|
(0.94) |
(0.93) |
(0.57) |
(0.52) |
(0.63) |
(0.29) | ||
|
Ψ2,3 |
-0.94 (0.79) |
2.995 |
3.842 |
10.245 |
4.077 |
-24.819 (0.36) |
-0.25 |
|
Ψ2,5 |
2.67 |
-2.226 (0.83) |
-1.300 (0.83) |
4.785 |
1.498 |
-29.169 (0.37) |
-0.5 |
|
Im |
1.514 |
-0.773 |
-1.135 |
-0.946 |
-5.687 |
4.107 |
0.74 |
|
(0.11) |
(0.68) |
(0.33) |
(0.76) |
(0.03) |
(0.46) | ||
|
φ*1 |
0.654 |
0.484 |
-0.207 |
1.281 |
-0.393 |
-9.104 |
0.62 |
|
1 |
(0.27) |
(0.72) |
(0.78) |
(0.57) |
(0.72) |
(0.08) | |
|
ɪ* <τ> o |
2.438 |
-4.743 |
-2.461 |
-2.087 |
-1.148 |
-9.003 |
0.27 |
|
*∙* 3 |
(0.10) |
(0.17) |
(0.20) |
(0.66) |
(0.63) |
(0.32) | |
|
φ*5 |
1.600 |
-0.252 |
-0.152 |
5.312 |
-1.446 |
-19.343 |
-0.23 |
|
5 |
(0.55) |
(0.97) |
(0.97) |
(0.63) |
(0.79) |
(0.34) |
Table 7 - Portfolio Determinants of Fiscal Insurance II
Table shows regression results of Pi = a+bxVariablei+cFixediLongtermi+dFixedshort+eForeignCurrency
+ flndexedi where Pi is the variable listed in the first column, Maturityi is the average maturity length of
bonds for country i in our sample, Variablei denotes the proportion of variable rate debt, FixedLongterm
the proportion of fixed long term debt issued Number in each cell is the estimated coefficient and in paran-
theses the p-value of significance for each variable.
40
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