TITLE:
Systemic Risk and Productivity of the Major Australian Banks
AUTHORS:
Necmi K. Avkiran
KEYWORDS:
Australian Major Banks, Domestic Systemic Risk, Sensitivity Analyses, Capital Adequacy, Inter-Connectedness, Productivity
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.11,
August
7,
2018
ABSTRACT: We measure the domestic systemic risk of the
Australian major banks. We report systemic risk along five categories, namely,
size, inter-connectedness, non-substitutability, complexity and domestic
sentiment. We then carry out sensitivity analyses by changing equal weights in
the categories, and examine the capital adequacy and inter-connectedness of the
majors focusing on key ratios. In terms of sensitivity analyses, changing the
equal weights do not influence systemic risk considerably, which indicates that
the results are robust. Comparing systemic risk to productivity, we find that
level systemic risk across time and high productivity are compatible, and
rising systemic risk causes some inefficiency.