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Annals of Finance

, Volume 2, Issue 1, pp 1–21 | Cite as

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

  • Charles A. E. Goodhart
  • Pojanart Sunirand
  • Dimitrios P. Tsomocos
Research Article

Abstract

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.

Keywords and Phrases

Financial fragility Systemic risk UK banking system Default 

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Copyright information

© Springer 2005

Authors and Affiliations

  • Charles A. E. Goodhart
    • 1
    • 2
  • Pojanart Sunirand
    • 1
    • 2
  • Dimitrios P. Tsomocos
    • 1
    • 2
    • 3
  1. 1.Bank of EnglandLondonUK
  2. 2.London School of EconomicsFinancial Markets GroupLondonUK
  3. 3.Said Business School and St. Edmund HallUniversity of OxfordOxfordUK

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