Searching for a Metric for Financial Stability
AbstractWe propose a metric of financial stability that is a weighted average of the probability of default and the equity of each country. The weights are obtained in the VAR and must reflect that the welfare changes due to financial instability are produced primarily through changes of the probability of default and secondarily through changes of the equity value. The metric is based on the definition of financial instability suggested by Tsomocos (2003 a and b) and Goodhart, Sunirand and Tsomocos (2006).
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Bibliographic InfoPaper provided by Financial Markets Group in its series FMG Special Papers with number sp167.
Date of creation: May 2006
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Other versions of this item:
- O. Aspachs & C. Goodhart & M. Segoviano & D. Tsomocos & L. Zicchino, 2006. "Searching for a Metric for Financial Stability," OFRC Working Papers Series 2006fe09, Oxford Financial Research Centre.
- Dimitrios P Tsomocos & O. AspachsC. GoodhartM. SegovianoL. Zicchino, 2006. "Searching for a Metric for Financial Stability," Economics Series Working Papers 2006-FE-09, University of Oxford, Department of Economics.
- NEP-ALL-2006-06-24 (All new papers)
- NEP-BEC-2006-06-24 (Business Economics)
- NEP-FMK-2006-06-24 (Financial Markets)
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- Goodhart, C.A.E. & Sunirand, P. & Tsomocos, D.P., 2011.
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- Mark Swinburne & StÃ©phanie Marie Stolz & Marina Moretti, 2008. "Stress Testing at the IMF," IMF Working Papers 08/206, International Monetary Fund.
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