- - RP* ΣRG,RP )] as in case 2 of section III, where the empirical moments have been computed over 1995-2004. 3/ The coefficient of 0.128 on λ* in regression a(i) implies that a 1 percentage point increase in λ* is associated with a 0.128 percentage point increase in Λ. 4/ Standard errors are corrected for by-country clustering in data in the OLS regressions but not the quantile regressions. 5/ Constant was included but is not reported. 6/ Quantile regressions were run using stata's sqreg command.
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- - RP* ΣRG,RP )] as in case 2 of section III, where the empirical moments have been computed over 1995-2004. 3/ To ensure adequate degrees of freedom, regressions were run only for those countries which had more than 10 banks reporting at least 8 years of data on all underlying variables needed to compute λ*. 4/ banks with λ* outside the [0;100] percent range were excluded from the regression. The number of bank shown in the table represents the banks remaining after this exclusion 5/ A coefficient of 0.5 on λ* for Argentina implies that a 1 percentage point increase in the MVP-implied optimal portfolio share of xg raises the observed share of xg by 0.5 percentage points.
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- 2/ Share of "index-linked" and "<1 year maturity" Treasury gilts in total stock outstanding thereof at end-March-2007. (UK Debt Management Office (DMO) Annual Review 2006/07).
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- 3/ Share of "<1 year maturity" Treasury securities in outstanding privately held federal debt at end-June-2006 (Haver database on privately held US public debt).
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- 3/ The regressor "NPL ratio (median)" represents the median value of the NPL ratio over the 1995-2004 period for each bank. The regressor is used here to accommodate the possibility that (i) bank managers may look at NPL ratios as an indicator of the risk-adjusted profitability of RP, rather than RP or ΣRP; and (ii) that the computed RP series (based on a number of simplifying assumptions) may not always correspond closely with any RP series actually tracked by bank managers.
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- 3/ The regressor "NPL ratio (median)" represents the median value of the NPL ratio over the 1995-2004 period for each bank. The regressor is used here to accommodate the possibility that (i) bank managers may look at NPL ratios as an indicator of the risk-adjusted profitability of RP, rather than RP or ΣRP; and (ii) that the computed RP series (based on a number of simplifying assumptions) may not always correspond closely with any RP series actually tracked by bank managers. 4/ Censoring-from-below was assumed for the regressand (l) at 1 percent.
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- 5/ Average maturity applies to outstanding Treasury gilts as at end-March-2007 (UK Debt Management Office 2006/07).
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- 6/ Average maturity applies to privately held public debt as at end-June-2007 (Haver database).
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- 7/ Banking system includes central bank and depository institutions. Means over 1995-2005.
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- 7/ Correlation of RP and RG for each country over 1995-2005. The real and nominal columns refer to correlation between real and nominal returns, respectively.
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- 8/ Data as at end-March-2007; includes holdings by Bank of England, commercial banks, building soceities and other financial institutions (UK Debt Management Office 2006/07).
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- 9/ Data as at end-December-2006. Federal Reserve and commercial bank holdings were deducted from total public debt (defined here as privately held public debt plus Fed's holdings) to derive the non-bank share. (Federal Reserve Statistical Release 8.4.1. available on <http://www.federalreserve.gov/releases/h41>; Treasury Bulletin, June 2007).
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- Table 1. Contribution of government securities to commercial banks' assets and incomes Ratios (in percent) based on bank-level data for 1995-2005 1/ Income from government securities as share of total interest income 2/ Government securities holdings as a share of risk-weighted assets plus government securities holdings 3/ Mean 4/ OECD 3.2 6.9 Developing countries 12.1 18.2 Median 5/ OECD 1.6 3.9 Developing countries 9.1 12.5 1/ Derived from bankscope balance sheet and income statement data on 12,304 banks in OECD countries and 5,713 banks in developing countries (all 120 non-OECD countries covered by Bankscope).
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- Table 5. Herfindahl indices for total deposits and government securities holdings Bankscope data (1995-2005) Deposits Government securities Higher income countries 0.08 0.13 Lower income countries 0.27 0.28 Latin America 0.12 0.24 Central and Eastern Europe 0.22 0.29 Middle East 0.26 0.28 Asia 0.28 0.26 Caribbean 0.31 0.44 Sub-Saharan Africa 0.33 0.48 Note: Herfindahl indices (HI) were generated for each "country-year", medianed over 19952005, and then "medianed" over country-groups. The index for deposits for a particular countryyear (say India-2004) was computed as: Σ(si/Σi si)2 ; where si is Indian bank i's dollar holding of deposits in 2004. Herfindahl indices exceeding 0.18 are usually indicative of high concentration (and hence, potential market power).
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- Tanzi, Vito, 1991, Public Finance in Developing Countries, Aldershot, Hants: Edward Elgar Pub.
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