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

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Annex 5 -over model Annex 5 Results of diagnostic tests of spill-over model A5.1 Normality of residuals The residuals were found to be approximately normal. There was little evidence of deviation from normality on the basis of inspection of the standardised normal probability plot. Figure 24: Standardised normal probability plot of residuals of main spill-over model 160 Normal F[(e-m)/s] 0.00 0.25 0.50 0.75 1.00 0.00 0.25 0.50 0.75 1.00 Empirical P[i] = i/(N+1) A5.2 Multi-collinearity The hypothesis that the estimated coefficients were stable and standard errors were not inflated is supported by variance inflation factors, which were mostly within the standard band of tolerance (i.e. greater than 0.1), suggesting that the estimation results are robust to multicollinearity.
Table 42: Results of test of multi-collinearity of main spill-over model Annex 5 -over model Variable 1/VIF Aggregate volume of SG bond issues (SG ISSUING INTENSITYim) 0.104 Aggregate volume of non-SG bond issues (NON-SG ISSUING INTENSITYim) 0.111 Use of state guarantee (GUARANTEEi) 0.542 Bond rating (RATINGi) 0.561 Time to maturity at issue (MATURITYit) 0.870 Sovereign CDS (SOVi) 0.765 Issuance volume (LIQUIDi) 0.458 Private placement (PRIVATEi) 0.813 Volatility (VOLit) 0.0311 USD-denominated (CURRENCY-USDi) 0.685 Non-EUR- and non-USD-denominated (CURRENCY-OTHERi) 0.684 Variable interest rate (COUPON-VARIABLEi) 0.466 Additional controls (not displayed) Month of issue dummies (Ti) Y Country of risk (COUNTRYi) N Number of observations 647 A5.3 Homoscedasticity of residuals The variance of the residuals of the main empirical specification was not clearly found to be homoscedastic. 161
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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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4 Impact of state guaranteed bonds
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Page 116 and 117: 5 Key empirical findings and polic
Page 118 and 119: References Acharya V.V. and Sundara
Page 120 and 121: Lando, D. (1997). 'Modeling Bonds a
Page 122 and 123: Annex 1 Eligibility criteria for st
Page 140 and 141: Annex 2 Comparison of SG and non-SG
Page 142 and 143: Annex 2 Comparison of SG and non-SG
Page 144 and 145: Annex 3 Analysis of missing issuin
Page 156 and 157: Annex 3 Analysis of missing issuing
Page 158 and 159: Annex 3 Analysis of missing issuing
Page 160 and 161: Annex 4 of diagnostic tests of issu
Page 162 and 163: Annex 4 of issuing cost model Figur
Page 166 and 167: Annex 5 -over model Figure 25: Anal
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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