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

  • Charles Goodhart
  • Pojanart Sunirand
  • Dimitrios Tsomocos

    ()

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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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
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=112370

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  1. 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.
  2. Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004. "A Model to Analyse Financial Fragility: Applications," OFRC Working Papers Series 2004fe05, Oxford Financial Research Centre.
  3. Chang, Roberto & Velasco, Andres, 2000. "Financial Fragility and the Exchange Rate Regime," Journal of Economic Theory, Elsevier, vol. 92(1), pages 1-34, May.
  4. Martin Shubik, 2000. "The Theory of Money," Working Papers 00-03-021, Santa Fe Institute.
  5. Dimitrios P. Tsomocos, 2003. "Equilibrium Analysis, Banking and Financial Instability," OFRC Working Papers Series 2003fe08, Oxford Financial Research Centre.
  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. Charles Goodhart & Pojanart Sunirand & Dimitrios Tsomocos, 2006. "A model to analyse financial fragility," Economic Theory, Springer, vol. 27(1), pages 107-142, 01.
  8. Dimitrios P. Tsomocos & Lea Zicchino, 2005. "On Modelling Endogenous Default," OFRC Working Papers Series 2005fe15, Oxford Financial Research Centre.
  9. Manuel Santos & Jorge Aseff, . "Stock Options and Managerial Optimal Contracts," Working Papers 2133304, Department of Economics, W. P. Carey School of Business, Arizona State University.
  10. Chichilnisky, G. & Heal, G. M. & Tsomocos, D. P., 1995. "Option values and endogenous uncertainty in ESOPs, MBOs and asset-backed loans," Economics Letters, Elsevier, vol. 48(3-4), pages 379-388, June.
  11. Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P Tsomocos, 2003. "Procyclicality and the new Basel Accord - banks' choice of loan rating system," Bank of England working papers 181, Bank of England.
  12. Dimitrios P Tsomocos, 2003. "Equilibrium analysis, banking, contagion and financial fragility," Bank of England working papers 175, Bank of England.
  13. Helmut Elsinger & Alfred Lehar & Martin Summer, 2002. "Risk Assessment for Banking Systems," Working Papers 79, Oesterreichische Nationalbank (Austrian Central Bank).
  14. 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.
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