Followed by the introduction, we begin the thesis by focusing on providing a quantitative indicator of the currency crisis contagion during the 1997-98 East Asian crisis. The severity of contagion is measured using a state-space model and a technical apparatus known as the Kalman filter. The...

In this paper, we provide capital flow forecasts to 32 developing countries using a vector error correction framework based on underlying domestic (pull) fundamentals and international (push) factors. In general, pull factors have a heavier weight in determining these capital flows. However,...

This article provides capital flow forecasts to 32 developing countries using an unobserved components model and maximum likelihood Kalman filtering estimation. Permanent and temporary components of capital flows of bond, equity and syndicated loans are separated out to the countries concerned....