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A Model to Analyse Financial Fragility

Citations

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Cited by:

  1. Gregory deWalque & Olivier Pierrard & Abdelaziz Rouabah, 2010. "Financial (In)Stability, Supervision and Liquidity Injections: A Dynamic General Equilibrium Approach," Economic Journal, Royal Economic Society, vol. 120(549), pages 1234-1261, December.
  2. Q. Akram & Gunnar Bårdsen & Kjersti-Gro Lindquist, 2007. "Pursuing financial stability under an inflation-targeting regime," Annals of Finance, Springer, vol. 3(1), pages 131-153, January.
  3. Nasreen, Samia & Anwar, Sofia & Ozturk, Ilhan, 2017. "Financial stability, energy consumption and environmental quality: Evidence from South Asian economies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 67(C), pages 1105-1122.
  4. Yang, Yung-Lieh & Cho, Tsui-Yueh & Huang, Ming-Hsiang, 2017. "Impacts Of The Economic Cooperation Framework Agreement On Banking Cost Efficiency In China And Taiwan : A Stochastic Metafrontier Approach," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 58(2), pages 121-141, December.
  5. Guembel, Alexander & Sussman, Oren, 2010. "Liquidity, Contagion and Financial Crisis," IDEI Working Papers 664, Institut d'Économie Industrielle (IDEI), Toulouse.
  6. Laurent Clerc & Alexis Derviz & Caterina Mendicino & Stephane Moyen & Kalin Nikolov & Livio Stracca & Javier Suarez & Alexandros P. Vardoulakis, 2015. "Capital Regulation in a Macroeconomic Model with Three Layers of Default," International Journal of Central Banking, International Journal of Central Banking, vol. 11(3), pages 9-63, June.
  7. Jürgen Eichberger & Martin Summer, 2005. "Bank Capital, Liquidity, and Systemic Risk," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 547-555, 04/05.
  8. Luboš Smrčka, 2010. "Credit Crisis in View of Return on Loan," Ekonomika a Management, University of Economics, Prague, vol. 2010(2).
  9. Charles Goodhart & Pojanart Sunirand & Dimitrios Tsomocos, 2006. "A Time Series Analysis of Financial Fragility in the UK Banking System," Annals of Finance, Springer, vol. 2(1), pages 1-21, January.
  10. Raphaël Espinoza & Charles. Goodhart & Dimitrios Tsomocos, 2009. "State prices, liquidity, and default," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(2), pages 177-194, May.
  11. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2009. "A framework for assessing the systemic risk of major financial institutions," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2036-2049, November.
  12. C. A. E. Goodhart & Miguel A. Segoviano & Boris Hofmann, 2006. "Default, Credit Growth, and Asset Prices," IMF Working Papers 06/223, International Monetary Fund.
  13. Sudipto Bhattacharya & Charles Goodhart & Pojanart Sunirand & Dimitrios Tsomocos, 2007. "Banks, relative performance, and sequential contagion," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 33(3), pages 601-601, December.
  14. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
  15. Liaqat Ali & Muhammad Kamran Naqi Khan & Habib Ahmad, 2020. "Education of the Head and Financial Vulnerability of Households: Evidence from a Household’s Survey Data in Pakistan," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 147(2), pages 439-463, January.
  16. 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.
  17. von Peter, Goetz, 2009. "Asset prices and banking distress: A macroeconomic approach," Journal of Financial Stability, Elsevier, vol. 5(3), pages 298-319, September.
  18. 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.
  19. Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos, 2006. "Endogenous State Prices, Liquidity, Default, and the Yield Curve," OFRC Working Papers Series 2006fe15, Oxford Financial Research Centre.
  20. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
  21. Garita, Gus, 2009. "Risk-Factor Portfolios and Financial Stability," MPRA Paper 19611, University Library of Munich, Germany, revised 11 Dec 2009.
  22. Xuan Wang, 2019. "When Do Currency Unions Benefit From Default ?," 2019 Papers pwa938, Job Market Papers.
  23. Kellermann, Kersten, 2010. "Too Big To Fail: Ein gordischer Knoten für die Finanzmarktaufsicht?," KOFL Working Papers 6, Konjunkturforschungsstelle Liechtenstein (KOFL), Vaduz.
  24. M. Peiris & Alexandros Vardoulakis, 2015. "Collateral and the efficiency of monetary policy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 59(3), pages 579-603, August.
  25. Gaël Giraud & Dimitrios Tsomocos, 2010. "Nominal uniqueness and money non-neutrality in the limit-price exchange process," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 303-348, October.
  26. Francisco Nadal De Simone & Franco Stragiotti, 2010. "Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector," BCL working papers 45, Central Bank of Luxembourg.
  27. Charles A. E. Goodhart & Dimitrios P. Tsomocos, 2011. "The Role of Default in Macroeconomics," IMES Discussion Paper Series 11-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
  28. Jan Willem van den End, 2010. "Liquidity Stress-Tester: A Model for Stress-testing Banks' Liquidity Risk," CESifo Economic Studies, CESifo, vol. 56(1), pages 38-69, March.
  29. Jean-Yves Gnabo & Nicolas K. Scholtes, 2016. "Assessing the role of interbank network structure in business and financial cycle analysis," Working Paper Research 307, National Bank of Belgium.
  30. Goodhart, C.A.E. & Sunirand, P. & Tsomocos, D.P., 2011. "The optimal monetary instrument for prudential purposes," Journal of Financial Stability, Elsevier, vol. 7(2), pages 70-77, June.
  31. Ngoc-Sang Pham, 2013. "Collateral monetary equilibrium with liquidity constraints in an infinite horizon economy," Documents de travail du Centre d'Economie de la Sorbonne 13055, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  32. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
  33. Martínez S., Juan Francisco & Tsomocos, Dimitrios P., 2018. "Liquidity and default in an exchange economy," Journal of Financial Stability, Elsevier, vol. 35(C), pages 192-214.
  34. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2011. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 12, pages 371-410, Central Bank of Chile.
  35. Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2005. "A risk assessment model for banks," Annals of Finance, Springer, vol. 1(2), pages 197-224, September.
  36. Christian Schmieder & Maher Hasan & Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 11/83, International Monetary Fund.
  37. Juan Francisco Martínez & José Miguel Matus & Daniel Oda, 2018. "Taxonomy of Chilean Financial Fragility Periods from 1975 to 2017," Working Papers Central Bank of Chile 822, Central Bank of Chile.
  38. Miguel A. Segoviano & Charles Goodhart, 2010. "Distress Dependence and Financial Stability," Working Papers Central Bank of Chile 569, Central Bank of Chile.
  39. Oscar Valencia & Daniel Osorio & Pablo Garay, 2017. "The role of capital requirements and credit composition in the transmission of macroeconomic and financial shocks," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(84), pages 203-221, December.
  40. Dale F. Gray & Carlos J. García & Leonardo Luna & Jorge E. Restrepo, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 6, pages 159-197, Central Bank of Chile.
  41. Abdelaziz Rouabah & John Theal, 2010. "Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector," BCL working papers 47, Central Bank of Luxembourg.
  42. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
  43. Apostolakis, George & Papadopoulos, Athanasios P., 2015. "Financial stress spillovers across the banking, securities and foreign exchange markets," Journal of Financial Stability, Elsevier, vol. 19(C), pages 1-21.
  44. Gieck, Jana, 2014. "Unconventional monetary policy in an open economy," Discussion Papers 41/2014, Deutsche Bundesbank.
  45. Peiris, M. Udara & Tsomocos, Dimitrios P., 2015. "International monetary equilibrium with default," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 47-57.
  46. Drakos, Anastassios A. & Kouretas, Georgios P., 2015. "Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 127-140.
  47. Patro, Dilip K. & Qi, Min & Sun, Xian, 2013. "A simple indicator of systemic risk," Journal of Financial Stability, Elsevier, vol. 9(1), pages 105-116.
  48. Dimitrios Tsomocos & Juan Francisco Martinez Sepulveda, 2012. "Liquidity effects on asset prices, financial stability and economic resilience," 2012 Meeting Papers 916, Society for Economic Dynamics.
  49. Garita, Gus, 2010. "An Inquiry into Banking Portfolios and Financial Stability Surrounding "The Great Recession"," MPRA Paper 25996, University Library of Munich, Germany.
  50. Goodhart, C.A.E. & Peiris, M.U. & Tsomocos, D.P., 2018. "Debt, recovery rates and the Greek dilemma," Journal of Financial Stability, Elsevier, vol. 36(C), pages 265-278.
  51. Sven Blank & Jonas Dovern, 2010. "What macroeconomic shocks affect the German banking system?: Analysis in an integrated micro-macro model," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 2(2), pages 126-148, June.
  52. Goodhart, C.A.E., 2006. "A framework for assessing financial stability?," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3415-3422, December.
  53. Sudipto Bhattacharya & Charles A.E. Goodhart & Dimitrios P. Tsomocos & Alexandros P. Vardoulakis, 2015. "A Reconsideration of Minsky's Financial Instability Hypothesis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(5), pages 931-973, August.
  54. Serafín Frache & Javier García-Cicco & Jorge Ponce, 2017. "Countercyclical Prudential Tools in an Estimated DSGE Model," Documentos de Trabajo (working papers) 0917, Department of Economics - dECON.
  55. Jokipii, Terhi & Monnin, Pierre, 2013. "The impact of banking sector stability on the real economy," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1-16.
  56. Charles Goodhart & Dimitrios Tsomocos, 2007. "Financial stability: theory and applications," Annals of Finance, Springer, vol. 3(1), pages 1-4, January.
  57. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
  58. Juan-Francisco Martínez & Rodrigo Cifuentes & Juan Sebastián Becerra, 2017. "Pruebas de Tensión Bancaria del Banco Central de Chile: Actualización," Working Papers Central Bank of Chile 801, Central Bank of Chile.
  59. Maria Kasselaki & Athanasios Tagkalakis, 2014. "Financial soundness indicators and financial crisis episodes," Annals of Finance, Springer, vol. 10(4), pages 623-669, November.
  60. Goodhart, Ch. A. E. & Kashyap, A. K. & Tsomocos, D. P. & Vardoulakis, A. P., 2012. "Financial Regulation in General Equilibrium," Working papers 372, Banque de France.
  61. Benjamin Tabak & Daniel Cajueiro & Dimas Fazio, 2013. "Financial fragility in a general equilibrium model: the Brazilian case," Annals of Finance, Springer, vol. 9(3), pages 519-541, August.
  62. De Graeve, Ferre & Kick, Thomas, 2008. "Monetary policy and bank distress: an integrated micro-macro approach," Discussion Paper Series 2: Banking and Financial Studies 2008,03, Deutsche Bundesbank.
  63. Swamy, Vighneswara, 2013. "Banking System Resilience and Financial Stability," MPRA Paper 47512, University Library of Munich, Germany.
  64. Piergiorgio Alessandri & Prasanna Gai & Sujit Kapadia & Nada Mora & Claus Puhr, 2009. "Towards a Framework for Quantifying Systemic Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 47-81, September.
  65. C. A. E. Goodhart, 2009. "The Continuing Muddles of Monetary Theory: A Steadfast Refusal to Face Facts," Economica, London School of Economics and Political Science, vol. 76(s1), pages 821-830, October.
  66. Apostolakis, George & Papadopoulos, Athanasios P., 2014. "Financial stress spillovers in advanced economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 128-149.
  67. Ethan Cohen-Cole & Enrique Martínez-García, 2011. "The Balance Sheet Channel," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 9, pages 255-297, Central Bank of Chile.
  68. Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos, 2006. "Evaluation of macroeconomic models for financial stability analysis," Working Paper Series 6806, Department of Economics, Norwegian University of Science and Technology.
  69. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
  70. Granville, Brigitte & Mallick, Sushanta, 2009. "Monetary and financial stability in the euro area: Pro-cyclicality versus trade-off," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 662-674, October.
  71. Lin, Li & Tsomocos, Dimitrios P. & Vardoulakis, Alexandros P., 2015. "Debt deflation effects of monetary policy," Journal of Financial Stability, Elsevier, vol. 21(C), pages 81-94.
  72. Ondřej Machek & Luboš Smrčka, 2015. "An updated Model of Financial Fragility based on General Equilibrium Analysis [Aktualizace modelu finanční křehkosti založeného na analýze všeobecné rovnováhy]," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2015(4), pages 23-42.
  73. Guangling Liu, 2014. "The Welfare Cost of Sovereign Default and Liquidity Injections," Working Papers 439, Economic Research Southern Africa.
  74. Ahrens, Steffen & Bosch-Rosa, Ciril, 2019. "Heads We Both Win, Tails Only You Lose: the Effect of Limited Liability On Risk-Taking in Financial Decision Making," Rationality and Competition Discussion Paper Series 162, CRC TRR 190 Rationality and Competition.
  75. Zulkhibri, Muhamed & Ismail, Abdul Ghafar, 2017. "Stress Testing Frameworks and Practices in Dual Banking System: A Preliminary Assessment," Policy Papers 2017-6, The Islamic Research and Teaching Institute (IRTI).
  76. 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.
  77. Faure, Salomon & Gersbach, Hans, 2016. "Money creation and destruction," CFS Working Paper Series 555, Center for Financial Studies (CFS).
  78. Samitas, Aristeidis & Polyzos, Stathis & Siriopoulos, Costas, 2018. "Brexit and financial stability: An agent-based simulation," Economic Modelling, Elsevier, vol. 69(C), pages 181-192.
  79. Tsvetomira Tsenova, 2014. "International monetary transmission with bank heterogeneity and default risk," Annals of Finance, Springer, vol. 10(2), pages 217-241, May.
  80. C. A. E. Goodhart & Miguel A. Segoviano, 2009. "Banking Stability Measures," IMF Working Papers 09/4, International Monetary Fund.
  81. Klimek, Peter & Poledna, Sebastian & Doyne Farmer, J. & Thurner, Stefan, 2015. "To bail-out or to bail-in? Answers from an agent-based model," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 144-154.
  82. Dmitry Levando, 2012. "A Survey Of Strategic Market Games," Economic Annals, Faculty of Economics, University of Belgrade, vol. 57(194), pages 63-106, July - Se.
  83. David Pérez-Reyna, 2009. "Una aproximación para analizar la estabilidad financiera por medio de un DSGE," Temas de Estabilidad Financiera 040, Banco de la Republica de Colombia.
  84. Eric Wong & Cho-Hoi Hui, 2009. "A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks," Working Papers 0906, Hong Kong Monetary Authority.
  85. John Muellbauer, 2010. "Household decisions, credit markets and the macroeconomy: implications for the design of central bank models," BIS Working Papers 306, Bank for International Settlements.
  86. Yangfan Sun & Hui Tong, 2015. "How Does Post-Crisis Bank Capital Adequacy Affect Firm Investment?," IMF Working Papers 15/145, International Monetary Fund.
  87. Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre, 2013. "Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 16-29.
  88. Gomez-Ruano, Gerardo, 2014. "Should Central Banks Take On Credit-Risk?," MPRA Paper 93633, University Library of Munich, Germany.
  89. Garita, Gus, 2011. "The reciprocal relationship between systemic risk and real economic activity," MPRA Paper 33135, University Library of Munich, Germany.
  90. Gieck, Jana & Traczyk, Adam, 2013. "Unconventional Monetary Policy and bank supervision," MPRA Paper 62014, University Library of Munich, Germany.
  91. Mikhail Andreev & M. Udara Peiris & Aleksandr Shirobokov & Dimitrios P. Tsomocos, 2019. "Macroprudential Policy and Financial (In)Stability Analysis in the Russian Federation," Russian Journal of Money and Finance, Bank of Russia, vol. 78(3), pages 3-37, September.
  92. Glasserman, Paul & Young, H. Peyton, 2015. "How likely is contagion in financial networks?," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 383-399.
  93. Ondřej Machek & Luboš Smrčka & Jiří Hnilica & Markéta Arltová & Dimitrios P. Tsomocos, 2014. "Analýza všeobecné rovnováhy pro český finanční trh a model finanční křehkosti [General Equilibrium Analysis of the Czech Financial Market and a Financial Fragility Model]," Politická ekonomie, University of Economics, Prague, vol. 2014(4), pages 437-458.
  94. Bernd Schwaab & Andre Lucas & Siem Jan Koopman, 2010. "Systemic Risk Diagnostics," Tinbergen Institute Discussion Papers 10-104/2/DSF 2, Tinbergen Institute, revised 29 Nov 2010.
  95. Barroso, Ricardo Vieira & Lima, Joaquim Ignacio Alves Vasconcellos & Lucchetti, Alexandre Henrique & Cajueiro, Daniel Oliveira, 2016. "Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning," MPRA Paper 73308, University Library of Munich, Germany.
  96. Samitas, Aristeidis & Polyzos, Stathis, 2016. "Freeing Greece from capital controls: Were the restrictions enforced in time?," Research in International Business and Finance, Elsevier, vol. 37(C), pages 196-213.
  97. Charles A. E. Goodhart & Carolina Osorio & Dimitrios P. Tsomocos, 2009. "Analysis of Monetary Policy and Financial Stability: A New Paradigm," CESifo Working Paper Series 2885, CESifo.
  98. Warapong Wongwachara & Bovonvich Jindarak & Nuwat Nookhwun & Sophon Tunyavetchakit & Chutipha Klungjaturavet, 2018. "Integrating Monetary Policy and Financial Stability: A New Framework," PIER Discussion Papers 100, Puey Ungphakorn Institute for Economic Research, revised Dec 2018.
  99. Sebastiaan Pool, 2016. "Credit Defaults, Bank Lending and the Real Economy," DNB Working Papers 518, Netherlands Central Bank, Research Department.
  100. Magdalena Ziolo & Beata Zofia Filipiak & Iwona Bąk & Katarzyna Cheba, 2019. "How to Design More Sustainable Financial Systems: The Roles of Environmental, Social, and Governance Factors in the Decision-Making Process," Sustainability, MDPI, Open Access Journal, vol. 11(20), pages 1-34, October.
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