Forecasting financial crises and contagion in Asia using dynamic factor analysis

Andrea Cipollini () and George Kapetanios

Journal of Empirical Finance, 2009, vol. 16, issue 2, 188-200

Abstract: In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997-1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.

Keywords: Financial; contagion; Dynamic; Factor; model (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (24)

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Related works:
Working Paper: Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis (2008)
Working Paper: Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis (2006)
Working Paper: Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:16:y:2009:i:2:p:188-200

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