Towards a measure of financial fragility

Autor:	Oriol Aspachs, Dimitrios P. Tsomocos, Charles Goodhart, Lea Zicchino
Rok vydání:	2006
Předmět:	General equilibrium theory Mathematical finance media_common.quotation_subject Monetary policy Financial fragility Financial system Capital (economics) Incomplete markets Economics Proxy (statistics) General Economics Econometrics and Finance Welfare Finance media_common
Zdroj:	Annals of Finance. 3:37-74
ISSN:	1614-2454 1614-2446
DOI:	10.1007/s10436-006-0061-z
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::718e0d2cb2ff15e46c687e84adc23f3f https://doi.org/10.1007/s10436-006-0061-z Zobrazit plný text záznamu Full text from SpringerLink