A Time Series Analysis of Financial Fragility in the UK Banking System
Charles A.E. Goodhart,
Pojanart Sunirand and
OFRC Working Papers Series from Oxford Financial Research Centre
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)
New Economics Papers: this item is included in nep-ets, nep-fin and nep-pke
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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)
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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2004fe18
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