Towards a Measure of Financial Fragility

Oriol Aspachs, Charles A.E. Goodhart, Dimitrios Tsomocos and Lea Zicchino ()

OFRC Working Papers Series from Oxford Financial Research Centre

Abstract: This paper proposes a measure of financial fragility that is based on economic welfare in a general equilbrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous 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
New Economics Papers: this item is included in nep-bec and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.finance.ox.ac.uk/file_links/finecon_papers/2006fe04.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: 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)
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:2006fe04

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 ().