Towards a Measure of Financial Fragility

Lea Zicchino (), Dimitrios Tsomocos, Charles Goodhart () and Oriol Aspachs Bracon ()

FMG Discussion Papers from Financial Markets Group

Abstract: This paper proposes a measure of financial fragility that is based on economic welfare in a general model calibrated against UK data. The model comprises a household sector, three active hetrogeneous banks, a central bank/regulator, incomplete markets and endogenous default. We address the impact of monetary and regulatory policy, credit and capital shocks in the real and financial sectors and how the response of the economy to shocks relates to our measure of financial fragility. Finally we use panel VAR techniques to investigate the relationships between the factors that characterise financial fragility in our model i.e. banks' probabilities of default and banks' profits - to a proxy of welfare

Date: 2006-03
New Economics Papers: this item is included in nep-bec, nep-fmk and nep-mac
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Related works:
Journal Article: Towards a measure of financial fragility (2007)
Working Paper: Towards a measure of financial fragility (2006)
Working Paper: Towards a Measure of Financial Fragility (2006)
Working Paper: Towards a Measure of Financial Fragility (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:fmg:fmgdps:dp554

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