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

Table 31: Comparison of means for missing and non-missing SG bonds (2 of 3)
Annex 3 Analysis of missing issuing cost data
Time to maturity Sovereign CDS Private placement
Mth N 1 N 2 1 2 1- 2 t-stat SE N 1 N 2 1 2 1- 2 t-stat SE N 1 N 2 1 2 1- 2 z-stat SE
11/08 13 3 2.9 2.7 0.3 1.2 0.2 13 3 32.7 27.5 5.2 4.8 1.1 13.0 3.0 0.0 0.0 0.0 . 0.0
12/08 19 12 2.8 3.3 -0.5 -1.8 0.3 19 12 61.5 22.8 38.7 1 39.2 19.0 12.0 0.1 0.1 0.0 0.2 0.1
01/09 20 8 2.9 3 -0.2 -0.5 0.3 20 8 86.6 16.3 70.3 1.1 65 20.0 8.0 0.1 0.3 -0.2 -1.5 0.2
02/09 29 20 3 2.7 0.4 1.5 0.3 29 20 72.5 27.4 45.1 1.6 28.7 29.0 20.0 0.1 0.2 0.0 -0.5 0.1
03/09 36 27 3.3 2.3 0.9 4.2 0.2 36 27 74.2 77.3 -3.1 -0.1 21 36.0 27.0 0.1 0.1 0.0 -0.4 0.1
04/09 34 31 3.3 2.3 1 4.6 0.2 34 31 70.6 43.4 27.1 1.5 18 34.0 31.0 0.1 0.2 -0.2 -1.9 0.1
05/09 32 40 3 2.3 0.8 2.9 0.3 32 40 79.3 79.8 -0.5 0 28.3 32.0 40.0 0.1 0.2 -0.1 -1.4 0.1
06/09 30 64 2.6 2.7 -0.1 -0.7 0.2 30 64 69.8 108 -38.2 -1.8 20.9 30.0 64.0 0.2 0.1 0.1 1.0 0.1
07/09 33 26 3.1 2.9 0.2 0.8 0.3 33 26 51.7 65.1 -13.5 -0.7 18.3 33.0 26.0 0.1 0.2 -0.1 -1.2 0.1
08/09 20 6 2.9 3 -0.1 -0.2 0.5 20 6 26.7 24.6 2 0.3 6.6 20.0 6.0 0.2 0.5 -0.3 -1.5 0.2
09/09 14 5 2.9 2.8 0.1 0.1 0.5 14 5 55.3 66.4 -11.1 -0.3 36.5 14.0 5.0 0.1 0.2 -0.1 -0.3 0.2
10/09 16 10 2.8 3.2 -0.4 -0.9 0.4 16 10 52.2 161.5 -109.3 -2.2 50 16.0 10.0 0.1 0.1 0.0 -0.3 0.1
11/09 14 17 3.8 3.6 0.1 0.3 0.5 14 17 50.1 101.4 -51.3 -1.7 29.6 14.0 17.0 0.1 0.3 -0.2 -1.6 0.1
12/09 16 7 3.4 4.7 -1.3 -2.4 0.5 16 7 95.7 103.7 -8 -0.2 41.8 16.0 7.0 0.1 0.4 -0.3 -1.6 0.2
01/10 21 14 3 3.4 -0.4 -1.1 0.4 21 14 55.3 33.7 21.6 0.6 38.7 21.0 14.0 0.1 0.1 0.1 0.7 0.1
02/10 14 14 3.2 3.1 0.1 0.3 0.5 14 14 118.9 264.9 -146 -1.5 97.3 14.0 14.0 0.1 0.3 -0.2 -1.5 0.1
03/10 28 30 3.1 3.1 0 0.1 0.3 28 30 163.9 315 -151.1 -2.1 71 28.0 30.0 0.1 0.1 -0.1 -0.8 0.1
04/10 25 30 3.2 3.1 0.1 0.2 0.3 25 30 84 321.2 -237.2 -3.5 67.4 25.0 30.0 0.1 0.2 0.0 -0.5 0.1
05/10 32 11 2.9 3.5 -0.5 -1.6 0.3 32 11 43.6 74 -30.3 -1.2 24.5 32.0 11.0 0.0 0.1 -0.1 -1.7 0.1
06/10 43 19 3 3.3 -0.2 -0.9 0.3 43 19 35.1 135.8 -100.8 -4 25.3 43.0 19.0 0.1 0.1 0.0 0.3 0.1
07/10 25 3 2.9 3.7 -0.8 -2.4 0.3 25 3 26.9 25.3 1.6 0.4 4.5 25.0 3.0 0.0 0.0 0.0 0.4 0.0
08/10 6 7 3.5 2.6 0.9 1.1 0.8 6 7 226.1 283.5 -57.5 -0.3 176.7 6.0 7.0 0.0 0.0 0.0 . 0.0
09/10 8 6 2.9 1.7 1.2 1.5 0.8 8 6 251.3 226.1 25.2 0.1 168.5 8.0 6.0 0.0 0.0 0.0 . 0.0
10/10 5 7 2.8 3.6 -0.8 -1.1 0.7 5 7 24.9 309.7 -284.8 -2.1 138.3 5.0 7.0 0.0 0.0 0.0 . 0.0
11/10 6 9 2.5 3.1 -0.6 -0.9 0.7 6 9 332.4 170.6 161.8 1.2 133.5 6.0 9.0 0.2 0.0 0.2 1.3 0.2
12/10 8 5 2.9 0.8 2.1 6.3 0.3 8 5 6.3 256.3 -250 -2.1 116.9 8.0 5.0 0.0 0.0 0.0 . 0.0
Summ. 547 431 3.0E+0 2.9E+0 8.9E-2 4 547 431 8.6E+1 1.3E+2 -4.2E+1 1 547 431 8.5E-2 1.5E-1 -5.8E-2 0 547
-stat (outcome of t-test for continuous variables based on mean-comparison tests), z-stat (outcome of tests of proportions for indicator variables), SE
(standard error), subscript 1 indicates statistic relates to included bonds and subscript 2 indicates statistic relates to excluded bonds
145