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

Dimitrios Tsomocos, Charles A.E. Goodhart, Bank of England, London School of Economics, and Financial Markets Group, Pojanart Sunirand and Bank of England

No 2004-FE-18, Economics Series Working Papers from University of Oxford, Department of Economics

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; U.K. Banking Systems; Default (search for similar items in EconPapers)
JEL-codes: C68 E4 E5 G11 G21 (search for similar items in EconPapers)
Date: 2004-09-01
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Citations: View citations in EconPapers (3)

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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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