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

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
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