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

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.

MoreLess

Year of publication:	2006-01
Authors:	Goodhart, Charles ; Sunirand, Pojanart ; Tsomocos, Dimitrios

Online Resource

Check full text access |

More access options

Check Google Scholar

I need help

More details

Type of publication:	Article
Language:	English
Notes:	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.
Other identifiers:	10.1007/s10436-005-0030-y [DOI]
Source:	BASE

Persistent link: https://www.econbiz.de/10011423758