We analyse determinants of bank credit losses in Australasia. Despite sizeable credit losses over the past two decades, ours is the first systematic study to do so. Analysis is based on a comprehensive dataset retrieved from original financial reports of 32 Australasian banks (1980-2005). Credit...

Based on a comprehensive dataset retrieved from original financial reports of 32 Australasian banks (1980-2005), this paper explores factors affecting the credit loss experience of these institutions. It is found that the state of economy as measured by GDP growth and unemployment rate have the...

This paper investigates the long-run convergence of regional house prices in the UK. Existing studies have failed to reach a consensus on whether or not regional house prices exhibit long-run convergence with each other. The application is proposed of a new test involving unit root testing of...

A simple data-dependent filtering method is proposed before applying the Bai–Ng method to estimate the number of common factors in the conventional approximate factor model. The asymptotic justification is provided and the finite-sample performance is examined.

Factor analysis performed on a panel of 23 nominal exchange rates from January 1999 to December 2010 yields three common factors. This paper identifies the euro/dollar, Swiss-franc/dollar and yen/dollar exchange rates as empirical counterparts to these common factors. These empirical factors...

In this paper we derive an asymptotic theory for linear panel regression augmented with estimated common factors. We give conditions under which the estimated factors can be used in place of the latent factors in the regression equation. For the principal components estimate of the factor space...

Independent realization is a commonly used shortcut for deriving forecast properties. It is also an unrealistic assumption in many empirical applications. In this paper we consider the effect of the assumption when deriving the properties of panel data forecasts. To do so, we derive and compare...