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

More documents

Recommendations

Info

Contents Page Annex 4 Results of diagnostic tests of issuing cost model 156 Annex 5 Results of diagnostic tests of spill-over model 160 Annex 6 Availability of bank data 164 Annex 7 Linking Bloomberg and Bankscope data 172 Annex 8 Investigation of estimation issues for models of bank outcomes 174 ii
Tables, Figures & Boxes Page Table 1: State guarantees schemes and ad hoc guarantees by Member State, €bn and %age GDP 19 Table 2: Grace periods of SG bonds, by guarantor 26 Table 3: Credit spread measures 35 Table 4: Determinants of bond issuing cost used in the empirical analysis 40 Table 5: Summary of state guarantee schemes, by guarantor 43 Table 6: Baseline impact and ratings upgrade effect, by bond ratings, bps (n=390) 59 Table 7: Baseline impact and ratings upgrade effect, by bank rating (n=310) 60 Table 8: Estimation results of issuing cost model 61 Table 9: Robustness and sensitivity of estimation results of issuing cost model 66 Table 10: Estimation results of indirect effects model 71 Table 11: Estimation results of indirect effects, by bank and bond groups 73 Table 12: Estimation results of cross-border indirect effects model 76 Table 13: Robustness and sensitivity of estimation results of indirect effects model 78 Table 14: Summary of bank outcome variables 84 Table 15: Variables used in the analysis of bank outcomes 87 Table 16: Distribution of banks by pre-issue and post-issue reference periods 91 Table 17: Difference in asset and liability growth between banks having issued guaranteed bonds and banks having issued eligible bonds without guarantee Table 18: Difference in profit performance between banks having issued guaranteed bonds and 92 banks having issued eligible bonds without guarantee 93 Table 19: Overall bank issuing activity by year of take-up of state guarantee and number of issues 95 Table 20: Impact of different changes in SG bond issuance activity on lending 102 Table 21: Clusters of healthy and ailing banks, by clustering variable 102 Table 22: Estimation results of lending model 103 Table 24: Predicted effects of explanatory variables on leverage: capital regulation view vs. buffer view 106 Table 25: Estimation results of leverage model 109 Table 26: Data availability, number of observations, by country of risk 136 Table 27: Comparison of means, z-spread/zero discount margin, by country of risk 137 Table 28: Data availability, % of total sample, by country of risk 138 Table 29: Comparison of means, by country of risk 139 Table 30: Descriptive statistics for SG bonds with missing (excluded) and non-missing (included) issuing cost data 142 Table 31: Comparison of means for missing and non-missing SG bonds (1 of 3) 144 Table 32: Comparison of means for missing and non-missing SG bonds (2 of 3) 145 Table 33: Comparison of means for missing and non-missing SG bonds (3 of 3) 146 Table 34:Analysis of missing data – non-SG bonds 148 Table 35: Comparison of means and proportions for missing and non-missing non-SG bonds (1 of 3) 149 Table 36: Comparison of means and proportions for missing and non-missing non-SG bonds (2 of 3) 150 Table 37: Comparison of means and proportions for missing and non-missing non-SG bonds (3 of 3) 151 Table 38: Re-estimation of issuing cost model, by issuance volume 153 iii
Page 2 and 3: Economic Papers are written by the
Page 4 and 5: Wherever possible London Economics
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 32 and 33: 3 Issuing costs of state guarantee
Page 56 and 57:
3 Issuing costs of state guarantee
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:
Page 130 and 131:
Page 132 and 133:
Page 134 and 135:
Page 136 and 137:
Page 138 and 139:
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 146 and 147:
Page 148 and 149:
Page 150 and 151:
Page 152 and 153:
Page 154 and 155:
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 172 and 173:
Page 174 and 175:
Page 176 and 177:
Annex 7 Linking Bloomberg and Banks
Page 178 and 179:
Annex 8 Investigation of estimation
show all

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

Create successful ePaper yourself

Delete template?

Save as template?