Towards a Measure of Financial Fragility
The paper proposes a measure of financial fragility that is based on economic welfare in a general equilibrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We address...
| Main Authors: | , , , |
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| Format: | Journal article |
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2007
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| _version_ | 1797087120718823424 |
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| author | Tsomocos, D Aspacs, O Goodhart, C Zicchino, L |
| author_facet | Tsomocos, D Aspacs, O Goodhart, C Zicchino, L |
| author_sort | Tsomocos, D |
| collection | OXFORD |
| description | The paper proposes a measure of financial fragility that is based on economic welfare in a general equilibrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We address the impact of monetary and regulatory policy, credit and capital shocks in the real and financial sectors and how the response of the economy to shocks relates to our measure of financial fragility. Finally we use panel VAR techniques to investigate the relationships between the factors that characterise financial fragility in our model, i.e. banks’ probabilities of default and banks’ profits – to a proxy of welfare. |
| first_indexed | 2024-03-07T02:31:36Z |
| format | Journal article |
| id | oxford-uuid:a76a50e5-3d47-489a-904a-6247a418a200 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T02:31:36Z |
| publishDate | 2007 |
| record_format | dspace |
| spelling | oxford-uuid:a76a50e5-3d47-489a-904a-6247a418a2002022-03-27T02:54:33ZTowards a Measure of Financial FragilityJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:a76a50e5-3d47-489a-904a-6247a418a200Saïd Business School - Eureka2007Tsomocos, DAspacs, OGoodhart, CZicchino, LThe paper proposes a measure of financial fragility that is based on economic welfare in a general equilibrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We address the impact of monetary and regulatory policy, credit and capital shocks in the real and financial sectors and how the response of the economy to shocks relates to our measure of financial fragility. Finally we use panel VAR techniques to investigate the relationships between the factors that characterise financial fragility in our model, i.e. banks’ probabilities of default and banks’ profits – to a proxy of welfare. |
| spellingShingle | Tsomocos, D Aspacs, O Goodhart, C Zicchino, L Towards a Measure of Financial Fragility |
| title | Towards a Measure of Financial Fragility |
| title_full | Towards a Measure of Financial Fragility |
| title_fullStr | Towards a Measure of Financial Fragility |
| title_full_unstemmed | Towards a Measure of Financial Fragility |
| title_short | Towards a Measure of Financial Fragility |
| title_sort | towards a measure of financial fragility |
| work_keys_str_mv | AT tsomocosd towardsameasureoffinancialfragility AT aspacso towardsameasureoffinancialfragility AT goodhartc towardsameasureoffinancialfragility AT zicchinol towardsameasureoffinancialfragility |