3 Issuing costs of state guaranteed bonds - Financial Risk and ...

Annex 3 Analysis of missing issuing cost data
Annex 3 Analysis of missing issuing cost data
This section provides an analysis of differences in bond characteristics between bonds 'included' in
the empirical analysis of the impact of state guarantees on issuing cost and related questions (i.e.,
bonds for which the main issuing cost measure is available) and bonds 'excluded' from the
empirical analysis (i.e., bonds for which the main issuing cost measure is missing).
The analysis shows that the main results are robust to missing issuing cost data. That is, despite
missing issuing cost data:
i. The characteristics of included and excluded bonds are generally similar enough to instil
confidence that had issuing cost data on excluded bonds been available the main findings
on the impact of state guarantees on issuing costs (hereafter, 'the main findings') would
still hold. Mean-comparison tests/tests of proportions for bond characteristics (e.g. bond
ratings) showed that included and excluded bonds are similar and therefore, the exclusion
of bonds for which issuing cost data was unavailable is unlikely to have influenced the
main findings.
ii. In cases where the characteristics of included and excluded observations differ, differences
are not of economic significance. Included and excluded non-SG bonds did differ in terms
of issuance volume. Namely, excluded non-SG bonds were larger than included non-SG
bonds. However, these differences are not economically significant. The main findings are
robust to subsamples of smaller and larger bonds. The included banks are representative
of the bank population. And, the main findings are robust to re-estimation on the basis of
imputed data.
The evidence presented in the following sections supports the two points made above.
A3.1 Differences between included and excluded bonds
A3.1.1 State guaranteed bonds
Table 29 provides descriptive statistics on included excluded SG bonds (for which issuing cost data
are non-missing and missing, respectively).
For each variable included in the main empirical specification for the impact of state guarantees on
issuing cost, information on the distributional characteristics of included and excluded bonds are
displayed. This includes information on number of observations, means, standard deviations and
quantiles.
One of notable features of these data is that the means across included and excluded bonds for
some variables differs. The amount issued for instance is higher for included bonds (€71m) than
excluded bonds (€33m).
To investigate these differences formally, mean-comparison tests and comparisons of proportions
were undertaken, the results of which are displayed in Table 30, Table 31, and Table 32 (pp. 144-
146).
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