RDP 2022-03: Macrofinancial Stress Testing on Australian Banks References

AASB (Australian Accounting Standards Board) (2021), ‘Compiled AASB Standard AASB 9 Financial Instruments’, 31 December. Available at <https://aasb.gov.au/aPdmin/file/content105/c9/AASB9_12-14_COMPdec21_01-22.pdf>.

Adrian T, J Morsink and L Schumacher (2020), ‘Stress Testing at the IMF’, IMF Departmental Paper No 20/04.

Anastasiou D, H Louri and M Tsionas (2016), ‘Determinants of Non-Performing Loans: Evidence from Euro-Area Countries’, Finance Research Letters, 18, pp 116–119.

APRA (Australian Prudential Regulation Authority) (2016), ‘Prudential Standard APS 110: Capital Adequacy’. Available at <https://www.apra.gov.au/sites/default/files/160101-APS-110_0.pdf>.

APRA (2021), ‘APRA Phases Out Reliance on Committed Liquidity Facility’, Media Release, 10 September.

Bachmann R and C Bayer (2013), ‘“Wait-and-See” Business Cycles?’, Journal of Monetary Economics, 60(6), pp 704–719.

Ballantyne A, T Cusbert, R Evans, R Guttman, J Hambur, A Hamilton, E Kendall, R McCririck, G Nodari and D Rees (2019), ‘MARTIN Has Its Place: A Macroeconomic Model of the Australian Economy’, RBA Research Discussion Paper No 2019-07.

Banerjee P and JJ Canals-Cerdá (2012), ‘Credit Risk Analysis of Credit Card Portfolios under Economic Stress Conditions’, Federal Reserve Bank of Philadelphia Working Paper No 12-18.

Bank of Japan (2020), ‘The Financial Macro-Econometric Model (FMM, March-2020 Version): Overview and Recent Developments’, Financial System Report Annex Series, August.

BCBS (Basel Committee on Banking Supervision) (2010), An Assessment of the Long-Term Economic Impact of Stronger Capital and Liquidity Requirements, Bank for International Settlements, Basel.

Bellotti T and J Crook (2013), ‘Forecasting and Stress Testing Credit Card Default Using Dynamic Models’, International Journal of Forecasting, 29(4), pp 563–574.

Bergmann M (2020), ‘The Determinants of Mortgage Defaults in Australia – Evidence for the Double-Trigger Hypothesis’, RBA Research Discussion Paper No 2020-03.

Bilston T, R Johnson and M Read (2015), ‘Stress Testing the Australian Household Sector Using the HILDA Survey’, RBA Research Discussion Paper No 2015-01.

Bloom N, M Floetotto, N Jaimovich, I Saporta-Eksten and SJ Terry (2018), ‘Really Uncertain Business Cycles’, Econometrica, 86(3), pp 1031–1065.

Brassil A, M Major and P Rickards (2022), ‘MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model’, RBA Research Discussion Paper No 2022-01.

Budnik K, M Balatti, I Dimitrov, J Groß, M Kleeman, T Reichenbachas, F Sanna, A Sarychev, N Si┼ćenko and M Volk (2020), ‘Banking Euro Area Stress Test Model’, ECB Working Paper No 2469.

Burrows O, D Learmonth and J McKeown (2012), ‘RAMSI: A Top-Down Stress-Testing Model’, Bank of England Financial Stability Paper No 17.

Coen J, C Lepore and E Schaanning (2019), ‘Taking Regulation Seriously: Fire Sales under Solvency and Liquidity Constraints’, Bank of England Staff Working Paper No 793.

Correia S, KF Kiernan, MP Seay and CM Vojtech (2020), ‘Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model’, Board of Governors of the Federal Reserve System Finance and Economics Discussion Series No 2020-015.

Diamond DW and RG Rajan (2011), ‘Fear of Fire Sales, Illiquidity Seeking, and Credit Freezes’, The Quarterly Journal of Economics, 126(2), pp 557–591.

Dinh MTH, AW Mullineux and P Muriu (2012), ‘Macroeconomic Factors Influencing UK Household Loan Losses’, Journal of Financial Regulation and Compliance, 20(4), pp 385–401.

Elul R, NS Souleles, S Chomsisengphet, D Glennon and R Hunt (2010), ‘What “Triggers” Mortgage Default?’, The American Economic Review, 100(2), pp 490–494.

Fernandes K and D Jones (2018), ‘The Reserve Bank's Securitisation Dataset’, RBA Bulletin, December.

Fuster A and PS Willen (2017), ‘Payment Size, Negative Equity, and Mortgage Default’, American Economic Journal: Economic Policy, 9(4), pp 167–191.

Garvin N (2019), ‘Emergency Liquidity Injections’, RBA Research Discussion Paper No 2019-10.

Ghosh A (2015), ‘Banking-Industry Specific and Regional Economic Determinants of Non-Performing Loans: Evidence from US States’, Journal of Financial Stability, 20, pp 93–104.

Gyourko J and J Tracy (2014), ‘Reconciling Theory and Empirics on the Role of Unemployment in Mortgage Default’, Journal of Urban Economics, 80, pp 87–96.

Hardy DC and C Schmeider (2013), ‘Rules of Thumb for Bank Solvency Stress Testing’, IMF Working Paper No WP/13/232.

Jacobs D and V Rayner (2012), ‘The Role of Credit Supply in the Australian Economy’, RBA Research Discussion Paper No 2012-02.

Jordà; Ò, M Schularick and AM Taylor (2013), ‘When Credit Bites Back’, Journal of Money, Credit and Banking, 45(s2), pp 3–28.

Kearns J, M Major and D Norman (2021), ‘How Risky Is Australian Household Debt’, The Australian Economic Review, 54(3), pp 313–330.

Kenney R, G La Cava and D Rodgers (2016), ‘Why Do Companies Fail?’, RBA Research Discussion Paper No 2016-09.

MacDonald C and V Traclet (2018), ‘The Framework for Risk Identification and Assessment’, Bank of Canada Technical Report No 113.

Minoiu C and T Kapan (2021), ‘The Corporate “Dash for Cash” and Banks’ Pullback from Risk-Taking', All About Finance, World Bank Blog, 12 April, viewed 13 July 2022. Available at <https://blogs.worldbank.org/allaboutfinance/corporate-dash-cash-and-banks-pullback-risk-taking>.

Qi M and X Yang (2009), ‘Loss Given Default of High Loan-to-Value Residential Mortgages’, Journal of Banking & Finance, 33(5), pp 788–799.

Read M, C Stewart and G La Cava (2014), ‘Mortgage-Related Financial Difficulties: Evidence from Australian Micro-Level Data’, RBA Research Discussion Paper No 2014-13.

Rodgers D (2015), ‘Credit Losses at Australian Banks: 1980–2013’, RBA Research Discussion Paper No 2015-06.