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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

    ()

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.

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File URL: http://hdl.handle.net/10.1007/s10436-005-0030-y
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Bibliographic Info

Article provided by Springer in its journal Annals of Finance.

Volume (Year): 2 (2006)
Issue (Month): 1 (January)
Pages: 1-21

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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

Related research

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

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References

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  1. Charles Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004. "A model to analyse financial fragility," LSE Research Online Documents on Economics 24703, London School of Economics and Political Science, LSE Library.
  2. 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.
  3. Elsinger, Helmut & Lehar, Alfred & Summer, Martin, 2002. "Risk Assessment for Banking Systems," Working Papers 79, Oesterreichische Nationalbank (Austrian Central Bank).
  4. Martin Shubik, 2000. "The Theory of Money," Working Papers 00-03-021, Santa Fe Institute.
  5. 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.
  6. Franklin Allen & Douglas Gale, 1976. "Optimal Financial Crises," Center for Financial Institutions Working Papers 97-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
  7. Dimitrios P Tsomocos & Charles A.E. Goodhart, 2004. "A Model to Analyse Financial Fragility: Applications," Economics Series Working Papers 2004-FE-05, University of Oxford, Department of Economics.
  8. Charles Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004. "A risk assessment model for banks," LSE Research Online Documents on Economics 24750, London School of Economics and Political Science, LSE Library.
  9. Chang, R. & Velasco, A., 1998. "Financial Fragility and the Exchange Rate Regime," Working Papers 98-05, C.V. Starr Center for Applied Economics, New York University.
  10. 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.
  11. Dimitrios Tsomocos & Lea Zicchino, 2005. "On Modelling Endogenous Default," FMG Discussion Papers dp548, Financial Markets Group.
  12. Dimitrios P Tsomocos, 2003. "Equilibrium analysis, banking, contagion and financial fragility," Bank of England working papers 175, Bank of England.
  13. Dimitrios P Tsomocos, 2000. "Equilibrium Analysis, Banking and Financial Instability," Economics Series Working Papers 2003-FE-08, University of Oxford, Department of Economics.
  14. Jorge Aseff & Manuel Santos, 2005. "Stock options and managerial optimal contracts," Economic Theory, Springer, vol. 26(4), pages 813-837, November.
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