RDP 1999-09: Australian Banking Risk: The Stock Market's Assessment and the Relationship Between Capital and Asset Volatility Appendix B: Data

The data used in Gizycki and Levonian (1993) were employed for the period 1983–1992. In the ensuing years, the data were constructed from the following sources.

Interest rates

Small business loan – Reserve Bank of Australia Bulletin, Table F.4.

180-day bank accepted bill – Reserve Bank of Australia Bulletin, Table F.1.

26 week Treasury notes – Reserve Bank of Australia Bulletin, Table F.1.

Weighted cost of funds – calculated using internal Reserve Bank of Australia data.


Share prices – Australian Stock Exchange.

Number of shares – series for each bank was constructed using information from banks' annual and interim reports, and Australian Stock Exchange Company Files. Partly paid shares are included in the total number of shares weighted according to the proportion paid up.

Bank financial data

Total liabilities – total liabilities were obtained from reporting forms submitted by each bank to the RBA. The data reported only includes liabilities within Australia. ANZ, Commonwealth Bank, National Australia Bank and Westpac each hold a significant proportion of their liabilities outside of Australia. Data on foreign assets as a proportion of total assets are contained in the banks' annual and interim reports. The asset data reported to the RBA were scaled up by those proportions, with linear interpolation used to calculate the proportions between reporting dates.