Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis

In this paper we use a Dynamic Factor model to retrieve vulnerability indicators able to predict financial turmoil. A stochastic simulation experiment is then used to produce the corresponding probability forecasts regarding the currency crisis events aÂ®ecting a number of East Asian countries during the 1997-1998 period. The Dynamic factor model improves upon a number of competing model, in terms of out of sample forecasting performance

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Year of publication:	2006-07-04
Authors:	Cipollini, Andrea ; Kapetanios, George
Institutions:	Society for Computational Economics - SCE
Subject:	Financial Contagion \| Dynamic Factor Model \| Stochastic Simulation

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Extent:	application/pdf
Series:	Computing in Economics and Finance 2006.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Computing in Economics and Finance 2006 Number 477
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/10005537458