Discrimination in Australian credit market: Does size matter?

Nguyen, Thanh Thao Vy (2014). Discrimination in Australian credit market: Does size matter? Master's Thesis, School of Economics, The University of Queensland.

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Author Nguyen, Thanh Thao Vy
Thesis Title Discrimination in Australian credit market: Does size matter?
School, Centre or Institute School of Economics
Institution The University of Queensland
Publication date 2014-11-11
Thesis type Master's Thesis
Supervisor Frédérique Bracoud
Rodney Strachan
Total pages 83
Language eng
Subjects 14 Economics
Formatted abstract
In this thesis, we develop an empirical model to identify banks’ discriminatory lending treatment against SMEs in Australia using aggregate quarterly data from QIV1994 to QI 2014. We establish a VECM framework and find evidences of 4 cointegration relationships. We treat large businesses and SMEs as two separate groups and interpret these cointegration relationships as bank loan supply and interest rate of each sector. We find that under a certain constraint caused by increase in funding cost or decrease in bank capital, banks tend to shift their portfolio away from SMEs. There are also evidences on the existence of price discrimination such that higher funding cost rise interest rate for SMEs but leave rate for large businesses remain unchanged. Finally, having analysed both sectors under two periods – before and after Basel Accord I, we conclude that Basel II and III (tighter capital regulation) amplifies both credit rationing and price discrimination in credit market.
Keyword Discrimination
Credit rationing
Bank capital
Basel Accord

Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
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Created: Mon, 06 Jul 2015, 10:47:04 EST by Mr Yun Xiao on behalf of Scholarly Communication and Digitisation Service