A Dynamic Factor Analysis of Financial Contagion in Asia

Andrea Cipollini and George Kapetanios

No 498, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: In this paper we compared the performance of country specific and regional indicators of reserve adequacy in predicting, out of sample, the balance of payment crisis affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve reserve adequacy indicators. The empirical findings suggest clear evidence of financial contagion.

Keywords: Financial contagion; Dynamic factor model (search for similar items in EconPapers)
JEL-codes: C32 C51 F34 (search for similar items in EconPapers)
Date: 2003-07-01
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:498

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