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Title:A dynamic factor analysis of financial contagion in Asia PDF Logo
Authors:Cipollini, Andrea
Kapetanios, George
Issue Date:2003
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 498
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.
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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