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

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Annex 3 Analysis of missing issuing cost data Table 29: Descriptive statistics for SG bonds with missing (excluded) and non-missing (included) issuing cost data 142 Quantiles Variable Group N Mean S.D. Min .25 Mdn .75 Max Issuance volume Coupon Bond rating Time to maturity Sovereign CDS Private placement USDdenominated Non-USDdenomainted Included 554 7.1E+8 9.0E+8 7.3E+6 7.3E+7 2.8E+8 1.0E+9 4.8E+9 Excluded 434 3.3E+8 5.3E+8 3.4E+6 5.0E+7 1.1E+8 3.6E+8 3.3E+9 Included 549 2.07 1.41 0.17 1.05 1.71 2.75 9.53 Excluded 428 2.49 1.20 0.00 1.71 2.42 3.07 10.00 Included 554 0.42 0.49 0.00 0.00 0.00 1.00 1.00 Excluded 434 0.27 0.44 0.00 0.00 0.00 1.00 1.00 Included 554 3.03 0.97 1.00 2.00 3.00 3.00 5.00 Excluded 434 2.86 1.20 0.00 2.00 3.00 3.00 5.00 Included 554 72.38 132.07 0.00 24.91 25.43 32.66 628.36 Excluded 434 128.92 189.04 0.00 24.91 25.43 208.13 628.36 Included 554 0.08 0.28 0.00 0.00 0.00 0.00 1.00 Excluded 434 0.15 0.36 0.00 0.00 0.00 0.00 1.00 Included 554 0.24 0.43 0.00 0.00 0.00 0.00 1.00 Excluded 434 0.18 0.38 0.00 0.00 0.00 0.00 1.00 Included 554 0.23 0.42 0.00 0.00 0.00 0.00 1.00 Excluded 434 0.25 0.43 0.00 0.00 0.00 0.00 1.00 Variable Included 554 0.78 0.42 0.00 1.00 1.00 1.00 1.00 interest rate Excluded 434 0.28 0.45 0.00 0.00 0.00 1.00 1.00 Note: S.D. (standard deviation), Min (minimum), 0.25 (25 th percentile), Mdn (median), 0.75 (75 th percentile), Max (maximum)
Annex 3 Analysis of missing issuing cost data Table 34-Table 36 show the results of mean-comparison tests and tests of proportions of the characteristics of included and excluded bonds, by month The rationale for these comparisons was to formally investigate differences in included and excluded bond characteristics to determine whether they may have influenced the main findings of the study in relation to issuing cost. The statistical tests are conducted on a monthly basis because the main empirical specification includes time dummies, which account for inter-month variation, and therefore we are interested in unaccounted for intra-month variation between included and excluded bonds. The tables display number of observations (N1, N2 121-2), the test statistic determining whether differences in means are statistically significant (t-stat/zstat) and the standard error used in the test (SE). The t-stat/z-stat column of the summary row provides the main output of this analysis. It indicates the number of months in which the characteristic of included and excluded bonds are different at a statistically significant level. The main finding is that included and excluded bond characteristics are similar in the vast majority of months. In terms of issuance volume, bond and time to maturity, bonds are different in only a minority of months (at most, four out of 26). The only way in which included and excluded bonds are different is in terms of interest rate type. This was seen above, where 78% of included bonds had a variable interest rate, whereas this was only the case for 28% of excluded bonds. The remainder of bonds had either a fixed, floating or other interest rate. This finding is corroborated below, as included and excluded bonds differ in 20 out of the 26 months for which the two proportions were compared. 143
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Economic Papers are written by the
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Wherever possible London Economics
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Contents Page Annex 4 Results of di
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Tables, Figures & boxes Page Table
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Glossary vi Glossary BGN Bloomberg
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Executive summary Member States (Cy
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1 Introduction 1 Introduction 1.1
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1 Introduction 1.4 Research questi
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1 Introduction analysis of the lat
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2 Overview of state guarantee sche
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Page 118 and 119: References Acharya V.V. and Sundara
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Page 168 and 169: Annex 6 Availability of bank data A
Page 170 and 171: Annex 6 Availability of bank data T
Page 176 and 177: Annex 7 Linking Bloomberg and Banks
Page 178 and 179: Annex 8 Investigation of estimation
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