Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

In this paper we compare the performance of a regional indicator of vulnerability in predicting, out of sample, the crisis events affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve the vulnerability indicator and stochastic simulation is used to produce probability forecasts. The empirical findings suggest evidence of financial contagion.

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Year of publication:	2005-05
Authors:	Cipollini, Andrea ; Kapetanios, George
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Financial contagion \| Dynamic factor model

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 538
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; F34 - International Lending and Debt Problems
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106320