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

Published: 11 Jul 2019 | Version 1 | DOI: 10.17632/pkyn5x4tfy.1

Description of this data

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).

Experiment data files

This data is associated with the following publication:

The role of bank funding in systematic risk transmission

Published in: Finance Research Letters

Latest version

  • Version 1

    2019-07-11

    Published: 2019-07-11

    DOI: 10.17632/pkyn5x4tfy.1

    Cite this dataset

    Muijsson, Cherry; satchell, stephen (2019), “Data for: The role of bank funding in risk transmission among Australian banks”, Mendeley Data, v1 http://dx.doi.org/10.17632/pkyn5x4tfy.1

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Categories

Banking, Financial Risk, Bank Capital Structure

Licence

CC BY 4.0 Learn more

The files associated with this dataset are licensed under a Creative Commons Attribution 4.0 International licence.

What does this mean?

This dataset is licensed under a Creative Commons Attribution 4.0 International licence. What does this mean? You can share, copy and modify this dataset so long as you give appropriate credit, provide a link to the CC BY license, and indicate if changes were made, but you may not do so in a way that suggests the rights holder has endorsed you or your use of the dataset. Note that further permission may be required for any content within the dataset that is identified as belonging to a third party.

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