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MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model

18 Jan 2022 RDP 2022-01
Anthony Brassil, Mike Major and Peter Rickards
Research Discussion Paper – RDP 2022-01 MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model. ... banking, COVID-19, modelling, monetary policy. We add a simplified banking sector to the RBA’s macroeconometric model
https://www.rba.gov.au/publications/rdp/2022/2022-01.html

Supplementary Information for RDP 2022-01: MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model

18 Jan 2022 RDP 2022-01
Anthony Brassil, Mike Major and Peter Rickards
Research Discussion Paper – RDP 2022-01 MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model.
https://www.rba.gov.au/publications/rdp/2022/2022-01/supplementary-information.html

Introduction

18 Jan 2022 RDP 2022-01
Anthony Brassil, Mike Major and Peter Rickards
RDP 2022-01: MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model 1. ... How banks respond to these losses is based on the RBA's bank stress testing framework (RBA 2017).
https://www.rba.gov.au/publications/rdp/2022/2022-01/introduction.html

Conclusion

18 Jan 2022 RDP 2022-01
Anthony Brassil, Mike Major and Peter Rickards
RDP 2022-01: MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model 6. ... By calibrating our model to APRA's stress testing results, we are able to capture business loan losses only to the extent that they are correlated
https://www.rba.gov.au/publications/rdp/2022/2022-01/conclusion.html

MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model

18 Jan 2022 RDP 2022-01
Anthony Brassil, Mike Major and Peter Rickards
Research Discussion Paper – RDP 2022-01 MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model.
https://www.rba.gov.au/publications/rdp/2022/2022-01/sections.html

Appendix A: Literature Review

18 Jan 2022 RDP 2022-01
Anthony Brassil, Mike Major and Peter Rickards
RDP 2022-01: MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model Appendix A: Literature Review. ... When discussing the relationship between the Bank of England's macro modelling framework and their financial stability
https://www.rba.gov.au/publications/rdp/2022/2022-01/appendix-a.html

Read me file

18 Jan 2022 RDP 2022-01
Anthony Brassil, Mike Major and Peter Rickards
RDP 2022-01: MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model Read me file.
https://www.rba.gov.au/publications/rdp/2022/2022-01/read-me.html

Non-technical summary for ‘MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model’

18 Jan 2022 RDP 2022-01
Anthony Brassil, Mike Major and Peter Rickards
To fill this gap in the RBA's modelling repertoire, we add a simplified banking sector to the RBA's macroeconometric model (MARTIN). ... Australia's banking sector has an ‘unquestionably strong’ capital framework, tends to be highly profitable, and
https://www.rba.gov.au/publications/rdp/2022/2022-01/non-technical-summary.html

References

18 Jan 2022 RDP 2022-01
Anthony Brassil, Mike Major and Peter Rickards
Altavilla C, L Burlon, M Giannetti and S Holton (2019), ‘Is There a Zero Lower Bound? ... APRA (2019), ‘Review of APRA's Prudential Measures for Residential Mortgage Lending Risks’, Information Paper, 29 January.
https://www.rba.gov.au/publications/rdp/2022/2022-01/references.html

MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model

18 Jan 2022 RDP 2022-01
Anthony Brassil, Mike Major and Peter Rickards
L. H. ,. t. ). equals the total household loan losses in APRA's exercise (APRA 2018). ... L. t. ). equals the total loan losses in APRA's exercise (APRA 2018).
https://www.rba.gov.au/publications/rdp/2022/2022-01/full.html