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A time series analysis of financial fragility in the UK banking system

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

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...

Persistent link: https://www.econbiz.de/10010744867

A risk assessment model for banks

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …

Persistent link: https://www.econbiz.de/10010745460

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Silli, Bernhard; Cohen, Randolph B; Polk, Christopher - London School of Economics (LSE) - 2008

Persistent link: https://www.econbiz.de/10010746282

Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year

Kang, Johnny; Pekkala, Tapio; Polk, Christopher; … - London School of Economics (LSE) - 2011

We show that the level of interest rates determines the magnitude of mispricing at the turn of the tax year, as investors face the trade-o¤ between selling a temporarily depressed stock this year and selling next year, but delaying tax implications by one year. Interest rates do explain the...

Persistent link: https://www.econbiz.de/10011071421