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

More documents

Recommendations

Info

Annex 8 Investigation of estimation issues for models of bank outcomes Annex 8 Investigation of estimation issues for models of bank outcomes A8.1 Endogeneity of state guarantees Participation in a state guarantee scheme is relatively uncorrelated with previous bank outcomes, as suggested by below. This is supportive of the view that state guarantee schemes are exogenous to the circumstances of any particular bank. Table 53: Correlation between participation in SG scheme and credit extension Participated Net loans Net loans Net loans Net loans (t-1) (t-2) (t-3) (t-4) Participated 1.0000 Net loans (t-1) 0.0740 1.0000 Net loans (t-2) 0.0807 0.9668 1.0000 Net loans (t-3) 0.0700 0.9360 0.9545 1.0000 Net loans (t-4) -0.0277 0.9840 0.9555 0.9804 1.0000 Note: Credit extension is measured by net loans Table 54: Correlation between participation in SG scheme and funding outcomes Participated Funding Funding Funding Funding (t-1) (t-2) (t-3) (t-4) Participated 1.0000 Funding (t-1) 0.0523 1.0000 Funding (t-2) 0.0577 0.9668 1.0000 Funding (t-3) 0.0500 0.9283 0.9682 1.0000 Funding (t-4) -0.0294 0.9613 0.9582 0.9761 1.0000 Note: Funding outcomes are measured by total liabilities and equity A8.2 Autocorrelation of bank outcomes Bank outcomes display high levels of year-on-year autocorrelation. This requires the use of an estimator that provides heteroscedasticity consistent standard errors. 174
Table 55: Autocorrelation of credit extension Credit extension (t) Credit extension (t-1) Credit extension (t-2) Credit extension (t-3) Credit extension (t) 1.0000 Annex 8 Investigation of estimation issues for models of bank outcomes Credit extension (t-1) 0.97 1.0000 Credit extension (t-2) 0.9447 0.9668 1.0000 Credit extension (t-3) 0.9412 0.936 0.9545 1.0000 Credit extension (t-4) Credit extension (t-4) 0.9669 0.984 0.9555 0.9804 1.0000 Note: Credit extension is measured by net loans Table 56: Autocorrelation of funding outcomes Funding (t) Funding (t-1) Funding (t-2) Funding (t-3) Funding (t) 1.0000 Funding (t-1) 0.9712 1.0000 Funding (t-2) 0.9380 0.9668 1.0000 Funding (t-3) 0.9421 0.9283 0.9682 1.0000 Funding (t-4) Funding (t-4) 0.9781 0.9613 0.9582 0.9761 1.0000 Note: Funding outcomes are measured by the sum of total liabilities and equity 175
Page 2 and 3:
Economic Papers are written by the
Page 4 and 5:
Wherever possible London Economics
Page 6 and 7:
Contents Page Annex 4 Results of di
Page 8 and 9:
Tables, Figures & boxes Page Table
Page 10 and 11:
Glossary vi Glossary BGN Bloomberg
Page 12 and 13:
Executive summary Member States (Cy
Page 14 and 15:
1 Introduction 1 Introduction 1.1
Page 16 and 17:
1 Introduction 1.4 Research questi
Page 18 and 19:
1 Introduction analysis of the lat
Page 20 and 21:
2 Overview of state guarantee sche
Page 22 and 23:
Page 24 and 25:
Page 26 and 27:
Page 28 and 29:
Page 30 and 31:
Page 32 and 33:
3 Issuing costs of state guarantee
Page 34 and 35:
Page 36 and 37:
Page 38 and 39:
Page 40 and 41:
Page 42 and 43:
Page 44 and 45:
Page 46 and 47:
Page 48 and 49:
Page 50 and 51:
Page 52 and 53:
Page 54 and 55:
Page 56 and 57:
Page 58 and 59:
Page 60 and 61:
Page 62 and 63:
Page 64 and 65:
Page 66 and 67:
Page 68 and 69:
Page 70 and 71:
Page 72 and 73:
Page 74 and 75:
Page 76 and 77:
Page 78 and 79:
Page 80 and 81:
Page 82 and 83:
Page 84 and 85:
Page 86 and 87:
4 Impact of state guaranteed bonds
Page 88 and 89:
Page 90 and 91:
86 4 Impact of state guaranteed bo
Page 92 and 93:
Page 94 and 95:
Page 96 and 97:
Page 98 and 99:
Page 100 and 101:
Page 102 and 103:
Page 104 and 105:
Page 106 and 107:
Page 108 and 109:
Page 110 and 111:
Page 112 and 113:
Page 114 and 115:
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 124 and 125:
Page 126 and 127:
Page 128 and 129: 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 164 and 165: Annex 5 -over model Annex 5 Results
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
show all

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

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?