New Zealand Bank Vulnerabilities in International Perspective.
Title:
New Zealand Bank Vulnerabilities in International Perspective.
Author:
Cubero, Rodrigo.
ISBN:
9781452745015
Personal Author:
Physical Description:
1 online resource (28 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. Introduction -- II. The Global Turmoil: How Has it Affected New Zealand Banks? -- III. Can Banks Handle an Increase in Mortgage Defaults? -- IV. How Vulnerable are Banks to Higher Defaults on Corporate Lending? -- V. What are the Risks Related to Banks' Wholesale Funding? -- Tables -- 1. New Zealand's Four Large Banks: Selected Financial Soundness Indicators -- 2. Financial Soundness Indicators of the Banking Sector -- 3. Housing Market Risk: Stress Tests Results, December 2008 -- 4. Owner-Occupied Mortgages by Risk Bucket -- 5. Numerical Example of Mortgage Default Probabilities -- 6. Corporate Sector Indicators -- 7. New Zealand's Credit Risk Exposure by Asset Class, December 2008 -- 8. Balance of Payments Financing -- 9. Funding Structure -- Figures -- 1. Bank Asset Quality -- 2. Mortgage Interest Rates -- 3. Overall Credit Growth -- 4. Bank Asset by Type -- 5. Household Debt -- 6a. Business and Agriculture Credit Growth -- 6b. Credit to GDP Ratio -- 7. Overdue Debts and Liquidations -- 8a. Net Capital Inflows -- 8b. Net Foreign Liabilities -- 8c. Bank Borrowing Offshore -- 8d. Bank's Share of Funding from Nonresidents -- 9a. Debt by Residual Maturity -- 9b. Local Currency External Debt as Share of Total External Debt -- 10. Average 5-Year CDS Spread on Four Major Australasian Banks -- 11. Funding Costs for Banks and New Mortgage Rates -- 12. Loan-to-Deposit Ratio for the Banking System -- Appendix -- References.
Abstract:
The global financial crisis is creating stress on banking systems across the world through funding and asset quality shocks. This paper combines different stress scenarios, as well as cross-country analysis, to assess New Zealand bank vulnerabilities to the global crisis and the domestic recession. It finds that a sharp worsening of asset quality would be required to reduce bank capital below the regulatory minimum. On the funding side, a disruption to banks'' offshore funding may put pressure on the exchange rate, but would not trigger a systemic liquidity problem.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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