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

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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.
Table 39: Re-estimation of issuing cost model with imputed data Variable Annex 3 Analysis of missing issuing cost data Use of state guarantee (GUARANTEEi) -15.7*** (3.27) Bond rating (RATINGi) -95.5*** (4.04) Time to maturity at issue (MATURITYit) -7.56*** (1.04) Sovereign CDS (SOVi) 0.250*** (0.0118) Issuance volume (LIQUIDi) 9.14e-8*** (2.57e-9) Private placement (PRIVATEi) -28.1*** (4.22) Volatility (VOLit) 1.61 (1.22) USD-denominated (CURRENCY-USDi) -69.7*** (3.35) Non-EUR- and non-USD-denominated (CURRENCY-OTHERi) -92.2*** (2.89) Variable interest rate (COUPON-VARIABLEi) 177*** (2.48) Additional controls (not displayed) Month of issue dummies (Ti) Y Country of risk (COUNTRYi) N Number of observations 2431 Adjusted-R 2 0.75 155
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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
Page 120 and 121: Lando, D. (1997). 'Modeling Bonds a
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Page 140 and 141: Annex 2 Comparison of SG and non-SG
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Page 164 and 165: Annex 5 -over model Annex 5 Results
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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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