Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

Andrea Cipollini and George Kapetanios

No 538, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: 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.

Keywords: Financial contagion; Dynamic factor model (search for similar items in EconPapers)
JEL-codes: C32 C51 F34 (search for similar items in EconPapers)
Date: 2005-05-01
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Related works:
Journal Article: Forecasting financial crises and contagion in Asia using dynamic factor analysis (2009)
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 (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:538

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