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
Authors:	Cipollini, Andrea ; Kapetanios, George
Publisher:	London : Queen Mary University of London, Department of Economics
Subject:	Dynamisches Modell \| Prognoseverfahren \| SchÃƒÂ¤tzung \| SÃƒÂ¼dostasien \| Finanzmarktkrise \| Financial contagion, Dynamic factor model

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Series:	Working Paper ; 538
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	487168682 [GVK] hdl:10419/62827 [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/10010284126