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

Preprint
Publisher Website
Google Scholar
  • 1 January 2004
    • preprint
      • Published in RePEc
Abstract
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.
All Related Versions

This publication has 0 references indexed in Scilit: