This paper presents an empirical analysis of business failures, bank advances/gross domestic product (GDP) ratio, unemployment, price level and stock market index in Australia using annual data for the period 1973-1995. After testing the relevant variable for unit roots, the absence of...

The severe bank stresses of the Global Financial Crisis (GFC) have underlined the importance of understanding and measuring extreme credit risk. The Australian economy is widely considered to have fared much better than the US and most other major world economies. This paper applies quantile...

In Australia, the term “residential mortgage-backed securities” (RMBSs) denotes debt securities, which are secured, in respect of principal and interest on a pool of residential mortgages. A public trustee company specially established solely for this purpose, which is known as a “special...

The purpose of this article is to analyse how Australia's regulatory framework for housing finance mitigates various risks in mortgage lending and promotes positive market outcomes and system stability. The article first considers the main bodies involved in the regulation of residential...

This study examines whether systemically important banks realise an implicit subsidy when raising wholesale debt funding and evaluates the effectiveness of the Basel III capital reforms in reducing the subsidy. Our estimations suggest that, before the reforms, systemically important banks...

Using a unique but confidential database, this study examines the capital management practices of Australian banks under the Basel regulatory framework. We find evidence of a negative relationship between the internally targeted capital buffers of banks and the current state of the economic...

International standard setters' approach to the appropriate design of regulatory bank capital requirements is currently in a state of flux. We examine the potential effects of recent Basel III and proposed Basel IV changes on the future role of risk sensitivity and internal models in capital...