RBA paper builds new model of banks’ credit losses


Research published by the Reserve Bank of Australia today (May 11) seeks to build a new econometric model to explain variation in banks' credit losses during financial crises.

In Credit losses at Australian banks: 1980–2013, author David Rodgers uses a new dataset spanning 1980–2013 to encompass a financial crisis in the early 1990s as well as 2008. Rodgers includes a "wide range" of variables, in particular those relating to banks' portfolios, which then interact with macro-level variables.


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