Data for: The role of bank funding in risk transmission among Australian banks

We use a dataset of 420 weekly observations ranging from 31/03/2004 to 30/06/2017 over eight Australian banks. The balance sheet data are collected from the Australian Prudential Regulation Authority (APRA Monthly Banking Statistics [2017]). APRA requires deposit-taking banks to be locally incorporated and to report their accounts monthly. From these we collect total loans, total deposits, household (mortgage) and financial intermediaries loans, and resident assets. The historical, continuously compounding, return series are computed using daily closing prices and aggregated to monthly returns. All returns data are collected from Bloomberg. We use a ten year Australian bond yield (GACGB10Y), S&P ASX Australia for the market (S&P ASX index) and a trade weighted effective exchange rate index (ATWI Index).本研究使用的数据集包含420组周度观测样本，观测区间为2004年3月31日至2017年6月30日，覆盖8家澳大利亚银行。相关资产负债表数据采集自澳大利亚审慎监管局（Australian Prudential Regulation Authority, APRA）发布的《2017年月度银行业统计报告》。澳大利亚审慎监管局要求吸收存款类银行必须在本地完成注册，并按月提交财务账目报表。基于上述报表，我们提取了总贷款规模、总存款规模、住户（按揭）贷款、金融中介贷款以及居民资产四类数据。历史连续复利收益率序列通过每日收盘价计算得到，并聚合为月度收益率序列。所有收益率数据均取自彭博终端（Bloomberg）。本研究同时采用了10年期澳大利亚国债收益率（GACGB10Y）、代表市场整体表现的标普澳大利亚证券交易所指数（S&P ASX Index）以及贸易加权实际有效汇率指数（ATWI Index）作为相关指标。