RDP 9302: A Decade of Australian Banking Risk: Evidence from Share Prices References
March 1993
- Download the Paper 83KB
Ackland, R. and I. Harper (1990), ‘Financial Deregulation in Australia: Boon or Bane?’, University of Melbourne, Programme in Monetary and Financial Economics, Occasional Paper No 3.
Bernanke, B.S. (1983), ‘Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression’, American Economic Review, 73(3):257–276.
Cordell, L.R., and K.K. King (1992), ‘A Market Evaluation of the Risk-based Capital Standards for the U.S. Financial System’, Unpublished manuscript, March.
Dennis, J. E., and R. B. Schnabel (1983), Numerical Methods for Unconstrained Optimization and Nonlinear Equations, Prentice Hall.
Diamond, D.W., and P.H. Dybvig (1983), ‘Bank Runs, Deposit Insurance and Liquidity’, Journal of Political Economy, 91(3):401–419.
Edlefsen, L. and S. Jones (1986), GAUSS Programming Language Manual, Software Version 1.49B, Aptech Systems, Inc., Washington.
Harper, I and T. Scheit (1991), ‘The Effects of Financial Market Deregulation on Bank Risk and Profitability’, Research Paper No 305, Department of Economics, University of Melbourne.
Kane, E.J., and G.G. Kaufman (1992), ‘Incentive Conflict in Deposit-Institution Regulation: Evidence from Australia’, Federal Reserve Bank of Chicago Working Paper WP-92-5, April.
Levonian, M. (1991a), ‘What Happens if Banks are Closed ‘Early’?’ in Rebuilding Banking: Proceedings of the 27th Annual Conference on Bank Structure and Competition, 273–295.
Levonian, M. E. (1991b), ‘Have Large Banks Become Riskier? Recent Evidence from Option Markets’, Federal Reserve Bank of San Francisco, Economic Review, Fall 1991, 3–17.
Lowe, P. and T. Rohling (1992), ‘Loan Rate Stickiness: Theory and Evidence’, Reserve Bank of Australia Research Discussion Paper, No. 9206.
Marcus, A. (1984), ‘Deregulation and Bank Financial Policy’, Journal of Banking and Finance, Vol.8, December, 557–565.
Marcus, A., and I. Shaked (1984), ‘The Valuation of FDIC Deposit Insurance Using Option-pricing Estimates’, Journal of Money, Credit, and Banking, 16(4):446–460.
Merton, R. (1974), ‘On the Pricing of Corporate Debt: The Risk Structure of Interest Rates’, Journal of Finance, 29(3):449–470.
Merton, R. (1977), ‘An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees’, Journal of Banking and Finance, 1(3):3–11.
Reserve Bank of Australia (1992), ‘Bank Interest Rate Margins’, Reserve Bank of Australia Bulletin, May 1992, 1–6.
Ronn, E., and A. Verma (1986), ‘Pricing Risk-Adjusted Deposit Insurance: An Option-based Model’, Journal of Finance, 41(4):871–896.
Schellhorn, C., and L. Spellman (1991), ‘Subordinated Debt Market Information and the Pricing of Deposit Insurance’, In Rebuilding Banking: Proceedings of the 27th Annual Conference on Bank Structure and Competition, May 6–8, Federal Reserve Bank of Chicago, 395–418.
Smith, C. (1976), ‘Option Pricing: A Review’, Journal of Financial Economics, 3(1):3–51.
State Bank Victoria (1990), Annual Report 1990.