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

Annex 3 Analysis of missing issuing cost data
However, a comparison of means shows that smaller, more risky banks were no more or less likely
to have their bonds included in or excluded from the analysis due to issuance volume. The results
of this test are shown in Table 38. Although the mean issuance volume is smaller for smaller than
larger banks (as one may expect), the difference is not statistically significant.
Table 38: Differences in issuance volume between large and small banks
Excluded
bonds
154
N 1 N 2 1 2 1- 2 t-stat SE
27 95 2316 2425 -109 -0.379 288
Included
bonds
41 41 3195 3204 -8.98 -0.28 32.5
-stat (outcome of t-test for continuous variables based on meancomparison
tests), SE (standard error), subscript 1 indicates statistic relates to smaller-more risky banks and subscript 2 indicates
statistic relates to larger-less risky banks
A3.2.3 Imputing missing issuing cost data
Finally, Table 39 presents the results of re-estimating the main issuing cost model with imputed
data.
Missing issuing cost data was replaced with imputed issuing cost data. This was achieved through a
stochastic process of matching bonds for which issuing cost data was missing with bonds for which
issuing cost data was present on the basis of observable bond characteristics, which was repeated
multiple times to test for the sensitivity of the matching process. Formally, OLS regression was
used to impute the data and 10 iterations were undertaken.
Table 39 presents the results of averaging over the multiple imputations and shows that the main
effect of state guarantees on issuing costs is robust to the use of imputed data.