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

被引：17

作者：

Goodhart C.A. ^{[1
,2
]}

Sunirand P. ^{[1
,2
]}

Tsomocos D.P. ^{[1
,3
]}

机构：

[1] Bank of England, London EC2R 8AH, Threadneedle Street

[2] London School of Economics, Financial Markets Group, London WC2A 2AE, Houghton Street

[3] Said Business School, University of Oxford, Oxford OX1 1HP, Park End Street

来源：

Annals of Finance | 2006年 / 2卷 / 1期

关键词：

Default; Financial fragility; Systemic risk; UK banking system;

D O I：

10.1007/s10436-005-0030-y

中图分类号：

学科分类号：

摘要：

This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2004, 2005, 2006) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the UK 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. © Springer 2005.

引用

页码：1 / 21

页数：20

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