The empirical literature studying the effects of fiscal policy shocks using VAR models differs among two important dimensions: the identification scheme and the VAR specification. Not surprisingly the results obtained are often diverse. The aim of this paper is to test whether differences in the...

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 a®ecting a number of East Asian countries...