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Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

  • Andrea Cipollini

    (Queen Mary, University of London)

  • George Kapetanios


    (Queen Mary, University of London)

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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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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