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

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Author Info
Charles Goodhart
Pojanart Sunirand
Dimitrios Tsomocos ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10436-005-0030-y
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Publisher Info
Article provided by Springer in its journal Annals of Finance.

Volume (Year): 2 (2006)
Issue (Month): 1 (January)
Pages: 1-21
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:annfin:v:2:y:2006:i:1:p:1-21

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Web page: http://www.springerlink.com/link.asp?id=112370

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Related research
Keywords: Financial fragility; Systemic risk; UK banking system; Default;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. M. Shubik & D. Tsomocos, 1992. "A strategic market game with a mutual bank with fractional reserves and redemption in gold," Journal of Economics, Springer, vol. 55(2), pages 123-150, June. [Downloadable!] (restricted)
  2. Dimitrios P Tsomocos, . "Equilibrium analysis, banking, contagion and financial fragility," Bank of England working papers 175, Bank of England. [Downloadable!]
    Other versions:
  3. Eva Catarineu-Rabell & Patricia Jackson & Dimitrios Tsomocos, 2005. "Procyclicality and the new Basel Accord - banks’ choice of loan rating system," Economic Theory, Springer, vol. 26(3), pages 537-557, October. [Downloadable!] (restricted)
    Other versions:
  4. Tsomocos, Dimitrios P., 2003. "Equilibrium analysis, banking and financial instability," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 619-655, July. [Downloadable!] (restricted)
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  5. Goodhart, Charles A. E. & Sunirand, Pojanart & Tsomocos, Dimitrios P., 2004. "A model to analyse financial fragility: applications," Journal of Financial Stability, Elsevier, vol. 1(1), pages 1-30, September. [Downloadable!] (restricted)
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  6. Chichilnisky, G. & Heal, G. & Tsomocos, D.P., 1994. "Option Values and Endogenous Uncertainty in ESOPS, MBOS and Asset-Backed Loans," Papers 94-01, Columbia - Graduate School of Business.
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  7. Jorge Aseff & Manuel Santos, 2005. "Stock options and managerial optimal contracts," Economic Theory, Springer, vol. 26(4), pages 813-837, November. [Downloadable!] (restricted)
    Other versions:
  8. Franklin Allen & Douglas Gale, 1998. "Optimal Financial Crises," Journal of Finance, American Finance Association, vol. 53(4), pages 1245-1284, 08. [Downloadable!] (restricted)
    Other versions:
  9. Charles Goodhart & Pojanart Sunirand & Dimitrios Tsomocos, 2006. "A model to analyse financial fragility," Economic Theory, Springer, vol. 27(1), pages 107-142, 01. [Downloadable!] (restricted)
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  10. Chang, Roberto & Velasco, Andres, 2000. "Financial Fragility and the Exchange Rate Regime," Journal of Economic Theory, Elsevier, vol. 92(1), pages 1-34, May. [Downloadable!] (restricted)
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  11. Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004. "A Risk Assessment Model for Banks," OFRC Working Papers Series 2004fe11, Oxford Financial Research Centre. [Downloadable!]
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  12. K Alec Chrystal & Paul Mizen, . "Consumption, money and lending: a joint model for the UK household sector," Bank of England working papers 134, Bank of England. [Downloadable!]
  13. Dimitrios Tsomocos & Lea Zicchino, 2005. "On Modelling Endogenous Default," FMG Discussion Papers dp548, Financial Markets Group. [Downloadable!] (restricted)
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  14. Martin Summer & Helmut Elsinger & Alfred Lehar, 2002. "Risk Assessment for Banking Systems," Working Papers 79, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  15. Martin Shubik, 2000. "The Theory of Money," Cowles Foundation Discussion Papers 1253, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Oriol Aspachs & Charles A.E. Goodhart & Dimitrios P. Tsomocos & Lea Zicchino, 2006. "Towards a Measure of Financial Fragility," OFRC Working Papers Series 2006fe04, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  2. Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos, 2006. "Evaluation of macroeconomic models for financial stability analysis," Working Paper 2006/01, Norges Bank. [Downloadable!]
    Other versions:
  3. Dairo Estrada & Daniel Osorio, . "A Market Risk Approach to Liquidity Risk and Financial Contagion," Borradores de Economia 384, Banco de la Republica de Colombia. [Downloadable!]
  4. Miguel A. Segoviano Basurto & Boris Hofmann & C. A. E. Goodhart, 2006. "Default, Credit Growth, and Asset Prices," IMF Working Papers 06/223, International Monetary Fund. [Downloadable!]
  5. Dairo Estrada & Daniel Osorio, 2006. "A Market Risk Approach To Liquidity Risk And Financial Contagion," BORRADORES DE ECONOMIA 001921, BANCO DE LA REPÚBLICA. [Downloadable!]
  6. C.A.E. Goodhart & P. Sunirand & D.P. Tsomocos, 2008. "The Optimal Monetary Instrument for Prudential Purposes," OFRC Working Papers Series 2008fe26, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  7. Agustín Saade & Daniel Osorio & Dairo Estrada, 2007. "An equilibrium approach to financial stability analysis: the Colombian case," Annals of Finance, Springer, vol. 3(1), pages 75-105, January. [Downloadable!] (restricted)
  8. Sudipto Bhattacharya & Charles A. E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2006. "Banks, Relative Performance, and Sequential Contagion," OFRC Working Papers Series 2006fe10, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  9. Dimitrios Tsomocos & C.A.E. Goodhart, 2007. "Analysis of Financial Stability," OFRC Working Papers Series 2007fe04, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  10. Mizuho Kida, 2008. "A macro stress testing model with feedback effects," Reserve Bank of New Zealand Discussion Paper Series DP2008/08, Reserve Bank of New Zealand. [Downloadable!]
  11. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. David Pérez-Reyna, . "Una aproximación para analizar la estabilidad financiera por medio de un DSGE," Temas de Estabilidad Financiera 040, Banco de la Republica de Colombia. [Downloadable!]
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This page was last updated on 2009-11-21.

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