|
EconStor >
Queen Mary, University of London >
School of Economics and Finance, Queen Mary, University of London >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/62827
|
| | |
| Title: | | Forecasting financial crises and contagion in Asia using dynamic factor analysis  |
| 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
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/62827
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|