Domestic Systemically Important Banks: An Indicator-Based Measurement Approach for the Australian Banking System
This paper serves as a response to the assessment methodology of the Basel Committee on Banking Supervision to identify systemically important banks. Based on the official technique, which requires an extensive collection of bank data, our paper develops a practicable modification. Utilising readily available indicators, we determine the domestic systemic risk of each licensed bank in Australia in the period 2002-2011. Our quantitative results uncover not only high levels of systemic risk for the four major banks, but their rising dominance during the global financial crisis. Consequently, we introduce a regulatory proposal that enables authorities to reduce the systemic risk of individual institutions.
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- Goodhart, Charles A.E. & Huang, Haizhou, 2005. "The lender of last resort," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1059-1082, May.
- Robert A. Eisenbeis, 2009. "What We Have Learned and Not Learned from the Current Crisis about Financial Reform," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 42(4), pages 457-469.
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"Too many to fail--An analysis of time-inconsistency in bank closure policies,"
Journal of Financial Intermediation,
Elsevier, vol. 16(1), pages 1-31, January.
- Acharya, Viral V & Yorulmazer, Tanju, 2004. "Too Many to Fail - An Analysis of Time Inconsistency in Bank Closure Policies," CEPR Discussion Papers 4778, C.E.P.R. Discussion Papers.
- Viral Acharya & Tanju Yorulmazer, 2007. "Too many to fail - an analysis of time-inconsistency in bank closure policies," Bank of England working papers 319, Bank of England.
- Martin Cihak & Simon Wolfe & Klaus Schaeck, 2006. "Are More Competitive Banking Systems More Stable?," IMF Working Papers 06/143, International Monetary Fund.
- Nicola Cetorelli, 2001. "Competition among banks: good or bad?," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 38-48. Full references (including those not matched with items on IDEAS)
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