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

3 Issuing costs of state guaranteed bonds
Table 13: Robustness and sensitivity of estimation results of indirect effects model
Variable
Aggregate volume of SG bond issues
(SG ISSUING INTENSITYim) Aggregate volume of non-SG bond
issues
(NON-SG ISSUING INTENSITYim) Use of state guarantee
(GUARANTEEi) Bond rating
(RATINGi) Time to maturity at issue
(MATURITYit) Sovereign CDS
(SOVi) Issuance volume
(LIQUIDi) Private placement
(PRIVATEi) Volatility
(VOLit) USD-denominated
(CURRENCY-USDi) 78
Main
estimation
model
(Table 11)
0.0400***
(0.0111)
0.0405
(0.0350)
-51.2***
(5.33)
-2.06
(4.64)
2.23
(1.47)
0.0600
(0.0451)
-9.70e9***
(2.70e09)
-1.66
(5.42)
0.651**
(0.298)
3.95
(4.09)
Alternative standard errors Alternative dependent
variables
Clustered SEs
(by month)
0.0396**
(.0181)
0.0405
(0.0580)
-51.2***
(4.76)
-2.06
(4.39)
2.23
(1.85)
0.0598
(0.0613)
-9.70e-09***
(2.79e-09)
0.651
(0.527)
3.95
(5.14)
Clustered SEs
(by country)
0.0396***
(0.013)
0.0405
(0.0260)
-51.2***
(7.42)
-2.06
(7.40)
2.23
(1.82)
0.0598
(0.0684)
-9.70e-09***
(3.04e-09)
0.651**
(0.242)
3.95
(6.40)
Alternative
pricing
source
0.0416***
(0.0112)
0.0360
(0.0354)
-51.8***
(5.40)
-1.61
(4.72)
2.05
(1.49)
0.0440
(0.0456)
-9.91e-09***
(2.73e-09)
-1.77
(5.53)
0.642**
(0.302)
4.11
(4.14)
Alternative estimation models
Exchange
rate premiaadjusted
0.0466***
(0.014)
0.050
(0.0440)
-52.1***
(7.15)
-2.13
(5.63)
1.33
(1.81)
0.094*
(0.0496)
-6.52e-09*
(3.41e-09)
13.79
(13.94)
0.614
(0.374)
-21.02**
(9.22)
Additional controls Alternative weights
(sensitivity of empirical strategy)
Addition of
time
dummies
0.0981***
(0.352)
-0.0493
(0.109)
-67.96***
(7.93)
-6.45
(8.15)
2.32
(2.18)
0.158***
(0.0585)
-8.41e-09**
(3.47e-09)
3.48
(8.85)
-0.175
(1.540)
-4.31
(5.81)
Addition of
bond clauses
0.0755***
(0.0168)
0.0383
(0.0559)
-59.44***
(7.68)
1.14
(8.16)
0.249
(2.19)
0.099*
(0.0586)
-9.03e-09**
(3.50e-09)
-0.340
(9.09)
0.312
(0.485)
-5.75
(5.87)
SG issuance
volume by
month of
issue
0.0187
(0.0163)
0.0650
(0.0516)
-59.92***
(5.35)
8.38**
(4.18)
7.235***
(1.31)
0.190***
(0.0633)
-1.53e-08***
(2.25e-09)
7.269
(5.31)
0.684
(0.429)
4.823
(3.61)
SG issuance
volume by
country of
risk
0.0452
(0.0350)
0.107
(0.154)
-16.7**
(7.86)
-35.9***
(6.14)
15.0***
(2.60)
0.0843
(0.0614)
-1.24e-9
(2.26e-9)
24.8
(4.62)
0.140
(1.28)
-14.3***
(5.03)
Combined
alternative
weights
0.0464*
(0.0257)
-0.0319
(0.0785)
-11.75
(10.02)
-24.8**
(10.25)
12.2***
(2.60)
-0.0736
(0.0975)
-2.59e-8***
(2.31e-09)
1.49
(4.84)
0.793
(0.504)
1.68
(4.59)