A dynamic factor analysis of financial contagion in Asia

In this paper we compared the performance of country specific and regional indicators of reserve adequacy in predicting, out of sample, the balance of payment crisis affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve reserve adequacy indicators. The empirical findings suggest clear evidence of financial contagion.

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Year of publication:	2003
Authors:	Cipollini, Andrea ; Kapetanios, George
Publisher:	London : Queen Mary University of London, Department of Economics
Subject:	Zahlungsbilanzungleichgewicht \| Dynamisches Modell \| SchÃƒÂ¤tzung \| Asien \| Industriestaaten \| Finanzmarktkrise \| Financial contagion, Dynamic factor model

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Series:	Working Paper ; 498
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	377046698 [GVK] hdl:10419/62884 [Handle]
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; F34 - International Lending and Debt Problems
Source:	EconStor

Persistent link: https://www.econbiz.de/10010284177