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

Charles A.E. Goodhart, Pojanart Sunirand and Dimitrios Tsomocos

OFRC Working Papers Series from Oxford Financial Research Centre

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 System; Default (search for similar items in EconPapers)
JEL-codes: C68 E4 E5 G11 G21 (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-ets, nep-fin and nep-pke
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.finance.ox.ac.uk/file_links/finecon_papers/2004fe18.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.finance.ox.ac.uk:80 (No such host is known. )

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2004fe18

Access Statistics for this paper

More papers in OFRC Working Papers Series from Oxford Financial Research Centre Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().