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http://hdl.handle.net/10419/62884
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| Title: | | A dynamic factor analysis of financial contagion in Asia  |
| 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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