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Title:Forecasting financial crises and contagion in Asia using dynamic factor analysis PDF Logo
Authors:Cipollini, Andrea
Kapetanios, George
Issue Date:2005
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 538
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.
Subjects:Financial contagion, Dynamic factor model
JEL:C32
C51
F34
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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