A time series analysis of financial fragility in the UK banking system

Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: 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.

Keywords: financial fragility; systemic risk; UK banking system; default (search for similar items in EconPapers)
JEL-codes: C68 E4 E5 G11 G21 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2004-09-14
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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http://eprints.lse.ac.uk/24778/ Open access version. (application/pdf)

Related works:
Journal Article: A Time Series Analysis of Financial Fragility in the UK Banking System (2006)
Working Paper: A Time Series Analysis of Financial Fragility in the UK Banking System (2004)
Working Paper: A Time Series Analysis of Financial Fragility in the UK Banking System (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24778

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