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Credit losses in Australasian banking

Abstract
We analyse determinants of bank credit losses in Australasia. Despite sizeable credit losses over the past two decades, ours is the first systematic study to do so. Analysis is based on a comprehensive dataset retrieved from original financial reports of 32 Australasian banks (1980- 2005). Credit losses rise when the macro economy is weak. Asset markets, particularly the equity market, are also important. Larger banks provide more for credit losses while less efficient banks have greater asset quality problems. Strong loan growth translates into significantly higher credit losses with a lag of 2-4 years. Finally, the results show strong evidence of income smoothing activities by banks.
Type
Working Paper
Type of thesis
Series
Department of Economics Working Paper Series
Citation
Hess, K., Grimes, A. & Holmes, M. J. (2008). Credit losses in Australasian banking. (Department of Economics Working Paper Series, Number 10/08). Hamilton, New Zealand: University of Waikato.
Date
2008-08
Publisher
Degree
Supervisors
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