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Credit Losses in Australasian Banking

Kurt Hess, Arthur Grimes and Mark Holmes ()
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Kurt Hess: University of Waikato

Working Papers in Economics from University of Waikato

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.

Keywords: banking; credit risk; loan loss provisions; Australia; New Zealand (search for similar items in EconPapers)
JEL-codes: G20 G21 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2008-06-18
New Economics Papers: this item is included in nep-ban
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Credit Losses in Australasian Banking (2009) Downloads
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