Three essays in applied empirical economics [Elektronische Ressource] : the financing of governments, corporations and households / vorgelegt von André Ebner

André Ebner

Informations

• Publié par: ludwig-maximilians-universitat_munchen
• Publié le: 01 janvier 2009
• Nombre de lectures: 10
• Langue: English

Extrait

Three Essays in Applied Empirical Economics

The Financing of Governments, Corporations and
Households



André Ebner
















München 2009









Three Essays in Applied Empirical Economics
The Financing of Governments, Corporations and
Households



Inaugural-Dissertation
zur Erlangung des Grades
Doctor oeconomiae publicae (Dr. oec. publ.)
an der Ludwig-Maximilians-Universität München

2009

vorgelegt von
André Ebner




Referent: Prof. Dr. Joachim Winter
Korreferent: Prof. Dr. Gerhard Illing
Datum der mündlichen Prüfung: 25. Januar 2010
Promotionsabschlussberatung: 10. Februar 2010






to my parents and my brother





Acknowledgements


During my dissertation I received support from a number of people to whom I am very
grateful. Special thanks go to my supervisor Joachim Winter for his ongoing
encouragement and the advice I received during my research projects. I am also grateful
to Gerhard Illing who kindly agreed to act as my second supervisor and to Martin Kocher
whom I was happy to win as my third examiner after having already experienced his
support and friendliness during my master thesis at the University of Innsbruck. Many
thanks go to Rien Wagenvoort and Magdalena Borys, my co-authors of the second
chapter. Part of it was written during my research internship at the European Investment
Bank, Economic and Financial Studies Division in Luxemburg, and I am grateful to the
members of the team for having hosted me.
Furthermore, during these three years I strongly benefited from being part of the
Munich Graduate School of Economics and I would like to thank all professors,
administrative staff and colleagues I was in contact with. Financial support from the
Deutsche Forschungsgemeinschaft is gratefully acknowledged.
I feel privileged to have met many interesting people which have become more than
good colleagues. Rainer Lanz has given me great support, especially during my start in
Munich and encouraged me many times when I experienced difficulties. It was much
easier for me to reorganize my ideas and to distract from my studies when talking to him.
I am very grateful to Linda Rousová who never became tired to discuss my research with
me and who gave me important suggestions during many talks. I would also like to thank
Amelie Wupperman and Nicolas Sauter for stimulating discussions and their friendship
as well as Christian Schulte who helped me to distract whenever I needed it. Moreover, I
am happy to have met Joachim Klein, Jan Schikora, Sebastian Scholz, Sebastian Watzka,
Matthias Fahn, Valeria Merlo and Stefan Vetter, and I am grateful for the time I could
spend with them.
Finally, I am especially indebted to my parents and my brother for their
encouragement and personal support. Thank you.

Munich, September 2009 André Ebner









Contents





Preface 1

1 An empirical analysis on the determinants of CEE government bond spreads 8
1.1 Introduction 8
1.2 Definition of bond spreads 11
1.3 Related literature 12
1.4 Empirical implementation 14
1.4.1 Time series properties 15
1.4.2 Model specification 17
1.4.3 Explanatory variables 19
1.5 Data 22
1.6 Empirical results 23
1.6.1 Model in first differences 23
1.6.2 Model in levels 27
1.7 Robustness analysis 29
1.8 Conclusion 30
Appendix 1.A: Issuance of euro-denominated government bonds 32
Appendix 1.B: Descriptive statistics 32
Appendix 1.C: Dummy variables 35

CONTENTS


Appendix 1.D: Robustness analysis 36
Appendix 1.E: Government bonds 39
References 40

2 A factor analysis approach to measuring European loan and bond market
integration 44
2.1 Introduction
2.2 Convergence measures and econometric approaches 48
2.2.1 α-convergence 48
2.2.2 σ49
2.2.3 β
2.2.4 Factor convergence 50
2.3 Data description 53
2.3.1 Bank loan interest rates 53
2.3.2 Primary bond yields 56
2.4 Adjusting interest rates for risk 56
2.4.2 Adjusting bank loan rates for systematic risk and inflation 56
2.4.2 Adjusting bond yields for credit risk and liquidity 58
2.5 Measuring financial market integration 61
2.5.1 α-convergence: are borrowing costs on average equal across
countries? 61
2.5.2 σ-convergence: are borrowing costs becoming more uniform
over time? 63
2.5.3 β-convergence: are differences between borrowing costs
mean-reverting? 66

CONTENTS


2.5.4 Factor convergence: are borrowing costs moving synchronously? 68
2.6 Conclusion 70
Appendix 2.A: Methodological note on chain linking NCB and ECB interest rates 72
Appendix 2.B: Results 75
Appendix 2.C: Glossary 80
References 81

3 A micro view on home equity withdrawal and its determinants
Evidence from Dutch households 84
3.1 Introduction 84
3.2 Theoretical background and empirical evidence 87
3.3 Dutch housing market 89
3.4 Data and econometric approach 91
3.4.1 Data 91
3.4.2 Descriptive Statistics 94
3.4.3 Econometric approach 99
3.5 Estimation results 100
3.6 Conclusion 107
Appendix 3.A: Home equity withdrawal and injection 109
Appendix 3.B: Descriptive statistics 110
Appendix 3.C: Home equity withdrawal measured by the DNB household survey 113
Appendix 3.D: Explanatory variables 116
Appendix 3.E: Average partial effects 119
Appendix 3.F: Robustness analysis 120
References 120









List of Tables





1.1 Unit root tests 17
1.2 Exogenous variables and their predicted impact 20
1.3 Model in first differences 26
1.4 Model in levels 28
1.5 Euro-denominated long-term bonds as % of total amount outstanding
of all long-term bonds 32
1.6 Bond spreads: descriptive statistics 32
1.7 Dummy variables 35
1.8 Model in first differences (reduced number of exogenous variables) 36
1.9 Model in levels (reduced number of exogenous variables) 37
1.10 Model in levels (lagged dependent variable) 37
1.11 variable and reduced number of
exogenous variables) 38
1.12 Government bonds 39
2.1 Relationship between convergence measures 52
2.2 OLS regression results used for the risk adjustment of bank loan rates 57
2.3 ent of bond yields 60
2.4 Differences in median risk-adjusted rates ( α in b.p.) 61
2.5 Transaction costs (in b.p.) applied to the face value 62

LIST OF TABLES


2.6 Annual speed of sigma convergence (in b.p.) 65
2.7a Panel unit root test results for loan spreads (p-value) 67
2.7b β-estimates of the Augmented Dickey-Fuller equation (2.3) 67
2.8 Factor convergence results 70
2.9 Availability of bank loan rates 74
2.10 Bank loan rates (in %) 75
2.11 Descriptive statistics of 828 bond issues (1999 – 2008) 76
2.12a Estimated factor loadings for bank loans 77
th 2.12b 0.5 percentile of bootstrapped factor loadings for bank loans 78
th 2.12c 99.5 percentile of bootstrapped factor loadings for bank loans 79
2.13 Factor loadings for bonds 80
3.1 Summary statistics DHS and sample 92
3.2 Summary statistics (non-transactors) 96
3.3 Summary statistics (transactors) 98
3.4 Probit models for the probability of withdrawing home equity
(non-transactors) 105
3.5 Probit me equity
(transactors) 107
3.6 Ratio of outstanding residential mortgage to GDP (%) 112
3.7 Average partial effects (APE) (non-transactors) 119
3.8 Average partial effects (APE) (transactors) 120
3.9 Regression analysis adjusted for potential outliers 121












List of Figures





1.1 Euro-denominated long-term bonds as % of total amount outstanding
of all long-term bonds 32
1.2 Spread between 10 year Polish and German government bond 33
1.3 een 10 year Hungarian and German government bond 33
1.4 Spread between 10 year Czech and German government bond 33
1.5 een 10 year Slovak and