Data for: The role of bank funding in risk transmission among Australian banks

Published: 11 July 2019| Version 1 | DOI: 10.17632/pkyn5x4tfy.1
Contributors:
Cherry Muijsson,
stephen satchell

Description

We use a dataset of 420 weekly observations ranging from 31/03/2004 to 30/06/2017 over eight Australian banks. The balance sheet data are collected from the Australian Prudential Regulation Authority (APRA Monthly Banking Statistics [2017]). APRA requires deposit-taking banks to be locally incorporated and to report their accounts monthly. From these we collect total loans, total deposits, household (mortgage) and financial intermediaries loans, and resident assets. The historical, continuously compounding, return series are computed using daily closing prices and aggregated to monthly returns. All returns data are collected from Bloomberg. We use a ten year Australian bond yield (GACGB10Y), S&P ASX Australia for the market (S&P ASX index) and a trade weighted effective exchange rate index (ATWI Index).

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