Goodhart, Charles, Sunirand, Pojanart and Tsomocos, Dimitrios (2006) A Time Series Analysis of Financial Fragility in the UK Banking System. Annals of Finance, 2 (1). pp. 1-21.
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.
|Keywords:||Financial fragility; Systemic risk; UK banking system|
|Centre:||Faculty of Finance|
|Date Deposited:||25 Jan 2012 18:37|
|Last Modified:||23 Oct 2015 14:06|
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