Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62827
Authors: 
Cipollini, Andrea
Kapetanios, George
Year of Publication: 
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

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