RDP 9302: A Decade of Australian Banking Risk: Evidence from Share Prices Data Appendix

Interest Rates

Bank Accepted Bills 180 Days – RBA Bulletin, Table F.1.

Treasury Notes 26 Weeks – RBA Bulletin, Table F.1.

Loan Rate – Overdrafts $100,000 and over, maximum rate, RBA Bulletin, Table F.3.

Weighted Cost of Funds – Calculated using RBA Bulletin data and internal RBA data. See Lowe and Rohling (1992).

Equity Share Data

Share Prices – Australian Stock Exchange.

Number of Shares – Series for each bank constructed using information from banks' Annual Reports, Australian Stock Exchange Company Files, Jobson's Year Book of Public Companies and the Australian Financial Review. Partly paid shares are included in the total number of shares weighted according to the proportion paid up.

Dividends – Banks' Annual Reports and banks' reports of interim results.

Standard Deviation of Equity – Daily rates of return were calculated from each day's closing share prices. An estimate of the standard deviation was computed for the Wednesday of each week from the proceeding 52 days of returns. Monthly averages of weekly estimates were used for σ_E.

Bank Financial Data

Total Assets – Data from reporting forms submitted by each bank to the Reserve Bank.

The data reported to the Reserve Bank by each bank includes only assets and liabilities within Australia. ANZ, Commonwealth Bank, National Australia Bank and Westpac each hold a significant proportion of their assets and 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 Reserve Bank were scaled up by those proportions, with linear interpolation used to calculate the proportions between reporting dates.

Total Liabilities – For those banks with Preference Shares (Advance, ANZ, Metway and Westpac) or Redeemable Mortgagor Shares (Advance) on issue these were added to the reported value of total liabilities. Total liabilities were obtained from reporting forms submitted by each bank to the Reserve Bank. Preference Shares and Redeemable Mortgagor Shares were obtained from banks' annual reports and Australian Stock Exchange Company Files. As with total assets, data from annual and interim reports were used to adjust the reported liability figures for foreign liabilities.

Banking Groups

As several banking groups consisted of both a trading bank and a savings bank, these groups have been consolidated together. Subsidiary banks have been added to their parent. Hence the banking groups (and the period for which data were available) are: