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- Title
Stress tests of UK banks using a VAR approach.
- Authors
Hoggarth, Glenn; Sorensen, Steffen; Lea Zicchino
- Abstract
The article presents information on stress tests, which offers a useful complement to the suite of models and used to assess banking sector instability. It also proposes an alternative test of the resilience of the Great Britain banking sector, which analyses the common developments in a measure of bank fragility and key macroeconomic variables, to compare the robustness of a conclusion to the choice of stress test. The stress tests revealed that the Great Britain banking system was robust to a number of adverse shocks.
- Subjects
UNITED Kingdom; ECONOMIC conditions in Great Britain; MONETARY policy; BANKING industry; ECONOMIC policy
- Publication
Bank of England Quarterly Bulletin, 2005, Vol 45, Issue 4, p478
- ISSN
0005-5166
- Publication type
Article