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Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

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  • Andrea Cipollini

    (Queen Mary, University of London)

  • George Kapetanios

    ()
    (Queen Mary, University of London)

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    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.

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    File URL: http://www.econ.qmul.ac.uk/papers/doc/wp538.pdf
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    Bibliographic Info

    Paper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 538.

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    Date of creation: May 2005
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    Handle: RePEc:qmw:qmwecw:wp538

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    Keywords: Financial contagion; Dynamic factor model;

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    1. Jan P.A.M. Jacobs & Gerard H. Kuper & Lestano, 2004. "Currency crises in Asia: A multivariate logit approach," International Finance 0409005, EconWPA.
    2. Marcelle Chauvet & Fang Dong, 2004. "Leading indicators of country risk and currency crises: the Asian experience," Economic Review, Federal Reserve Bank of Atlanta, issue Q 1, pages 25 - 37.
    3. Massimo Sbracia & Andrea Zaghini, 2001. "The Role of the Banking System in the International Transmission of Shocks," Temi di discussione (Economic working papers) 409, Bank of Italy, Economic Research and International Relations Area.
    4. Evan Tanner, 2002. "Exchange Market Pressure, Currency Crises, and Monetary Policy," IMF Working Papers 02/14, International Monetary Fund.
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    Cited by:
    1. Kuper, Gerard H. & Jacobs, Jan P.A.M. & Boonman, Tjeerd M., 2012. "The Global Financial Crisis and currency crises in Latin America," Research Report 12005-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    2. Rodrigo C├ęsar de Castro Miranda & Benjamin Miranda Tabak & Mauricio Medeiros Junior, 2012. "Contagion in CDS, Banking and Equity Markets," Working Papers Series 293, Central Bank of Brazil, Research Department.

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