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:	2004-09-14
Authors:	Goodhart, Charles ; Sunirand, Pojanart ; Tsomocos, Dimitrios P.
Institutions:	London School of Economics (LSE)
Subject:	Financial fragility \| Systemic risk \| UK banking system \| Default

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Discussion paper, 517 19 pages
Classification:	G21 - Banks; Other Depository Institutions; Mortgages ; E5 - Monetary Policy, Central Banking and the Supply of Money and Credit ; C68 - Computable General Equilibrium Models ; G11 - Portfolio Choice ; E4 - Money and Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010744867