A Time Series Analysis of Financial Fragility in the UK Banking System

This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2003,2004a, b) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the U.K. banking system. We conclude that, since the model performs satisfactorily, it can be readily used to assess financial fragility given its flexibility, computability, and the presence of multiple contagion channels and heterogeneous banks and investors.

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Year of publication:	2004
Authors:	Goodhart, Charles A.E. ; Sunirand, Pojanart ; Tsomocos, Dimitrios P.
Institutions:	Finance Research Centre, Oxford University
Subject:	Financial Fragility \| Systemic Risk \| U.K. Banking System \| Default

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Extent:	application/pdf
Series:	OFRC Working Papers Series.
Type of publication:	Book / Working Paper
Classification:	C68 - Computable General Equilibrium Models ; E4 - Money and Interest Rates ; E5 - Monetary Policy, Central Banking and the Supply of Money and Credit ; G11 - Portfolio Choice ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005729993