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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 538
- Klassifikation
-
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
- Thema
-
Financial contagion, Dynamic factor model
Dynamisches Modell
Prognoseverfahren
Schätzung
Südostasien
Finanzmarktkrise
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cipollini, Andrea
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cipollini, Andrea
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Entstanden
- 2005
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