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

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