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A Dynamic Factor Analysis of Financial Contagion in Asia

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Author Info
Andrea Cipollini (Queen Mary, University of London)
George Kapetanios () (Queen Mary, University of London)

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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.

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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 498.

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Date of creation: Jul 2003
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Handle: RePEc:qmw:qmwecw:wp498

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Related research
Keywords: Financial contagion; Dynamic factor model;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
F34 - International Economics - - International Finance - - - International Lending and Debt Problems

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This page was last updated on 2009-11-7.

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