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RBA Glossary definition for capital market
capital market – A market for medium to long-term financial instruments. Financial instruments traded in the capital market include shares, and bonds issued by the Australian Government, State governments, corporate borrowers and financial institutions.
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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
D. t. =. 0. Outside of the stressed state, in what we call the ‘unconstrained state’, we assume banks are able to access external capital markets, and do so such that any ... t. A. t. (. Δ. a. t. 1. β. M. ,. t. z. t. ). ). In other words, external
https://www.rba.gov.au/publications/rdp/2022/2022-01/full.html
BA-MARTIN in Detail
18 Jan 2022
RDP
2022-01
D. t. =. 0. Outside of the stressed state, in what we call the ‘unconstrained state’, we assume banks are able to access external capital markets, and do so such that any ... t. A. t. (. Δ. a. t. 1. β. M. ,. t. z. t. ). ). In other words, external
https://www.rba.gov.au/publications/rdp/2022/2022-01/ba-martin-in-detail.html
MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model
18 Jan 2022
RDP
2022-01
During large downturns, loan losses reduce banks’ capital, and banks respond by reducing their credit supply.
https://www.rba.gov.au/publications/rdp/2022/2022-01.html
References
18 Jan 2022
RDP
2022-01
Davies M, C Naughtin and A Wong (2009), ‘The Impact of the Capital Market Turbulence on Banks' Funding Costs’, RBA Bulletin, June, pp 1–13. ... RBA (2020b), ‘Box C: The Use of Banks' Capital Buffers’, Financial Stability Review, October.
https://www.rba.gov.au/publications/rdp/2022/2022-01/references.html
Conclusion
18 Jan 2022
RDP
2022-01
For example, a countercyclical capital buffer could be modelled as a temporary decline in banks' capital target. (. ... e. ). , which would reduce the capital shortfall that banks try to make-up during the period of peak stress.
https://www.rba.gov.au/publications/rdp/2022/2022-01/conclusion.html
Online Appendix
18 Jan 2022
RDP
2022-01
r. D. =. 0.05. %. ). as the cash rate falls, and an endogenous response to capital shortfalls. (. ... ψ. z. t. 1. ). reflecting the higher credit risk of banks with capital shortfalls:.
https://www.rba.gov.au/publications/rdp/2022/2022-01/online-appendix.html
Appendix A: Literature Review
18 Jan 2022
RDP
2022-01
However, they differ from our approach by modelling the banking sector using a linear error correction framework (including for loan losses and capital shortfalls), and by estimating the relationships rather than
https://www.rba.gov.au/publications/rdp/2022/2022-01/appendix-a.html
Introduction
18 Jan 2022
RDP
2022-01
banks' capital, and they may respond by increasing their loan interest rates and/or reducing the amount they are willing to lend. ... Pass-through also changes when the banking system is stressed (i.e. when losses are sufficient to reduce banks' capital).
https://www.rba.gov.au/publications/rdp/2022/2022-01/introduction.html
BA-MARTIN in a Nutshell
18 Jan 2022
RDP
2022-01
Funding spreads are determined by offshore funding markets (as in Brassil et al (2018)), changes in credit risk (determined by changes in capital adequacy) and a zero lower bound (ZLB) for ... The capital deterioration allows banks to increase these
https://www.rba.gov.au/publications/rdp/2022/2022-01/ba-martin-in-a-nutshell.html
Read me file
18 Jan 2022
RDP
2022-01
Aggregate bank capital ratio data. Aggregate bank losses data. Aggregate bank debt funding costs data. ... Capital ratio and losses data are available from the APRA statistics website:
https://www.rba.gov.au/publications/rdp/2022/2022-01/read-me.html