Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis

Andrea Cipollini () and George Kapetanios
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George Kapetanios: Queen Mary, University of London

No 477, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: 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 during the 1997-1998 period. The Dynamic factor model improves upon a number of competing model, in terms of out of sample forecasting performance

Keywords: Financial Contagion; Dynamic Factor Model; Stochastic Simulation (search for similar items in EconPapers)
JEL-codes: C32 C51 F34 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fmk, nep-for and nep-sea
Date: 2006-07-04
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http://repec.org/sce2006/up.30600.1141218104.pdf (application/pdf)

Related works:
Working Paper: Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis (2008)
Working Paper: Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis (2005)
Journal Article: Forecasting financial crises and contagion in Asia using dynamic factor analysis (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:sce:scecfa:477

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