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Australian banking risk: evidence from share prices

Author

Listed:
  • Marianne Gizycki
  • Mark E. Levonian

Abstract

We use share price data to calculate bank asset volatilities, market capital-asset ratios, and the public-sector depositor protection liability for Australia. The results show that the average capital ratio for the Australian banking sector has risen over the past decade, while the riskiness of bank assets has increased slightly. An examination of the relationship between asset volatility and bank capital implies that riskier banks have tended to maintain higher capital ratios, with a similar positive relationship between the two variables over time at individual banks. We find that the economic value of Australian depositor protection is extremely small.

Suggested Citation

  • Marianne Gizycki & Mark E. Levonian, 1994. "Australian banking risk: evidence from share prices," Working Papers in Applied Economic Theory 94-03, Federal Reserve Bank of San Francisco.
    • Handle: RePEc:fip:fedfap:94-03
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