Arbeitspapier
Forecasting financial crises and contagion in Asia using dynamic factor analysis
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.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 538
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
International Lending and Debt Problems
- Subject
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Financial contagion, Dynamic factor model
Dynamisches Modell
Prognoseverfahren
Schätzung
Südostasien
Finanzmarktkrise
- Event
-
Geistige Schöpfung
- (who)
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Cipollini, Andrea
Kapetanios, George
- Event
-
Veröffentlichung
- (who)
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Queen Mary University of London, Department of Economics
- (where)
-
London
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Cipollini, Andrea
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Time of origin
- 2005
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