Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis

Andrea Cipollini () and George Kapetanios

No 477, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: In this paper we use a Dynamic Factor model to retrieve vulnerability indicators able to predict financial turmoil. A stochastic simulation experiment is then used to produce the corresponding probability forecasts regarding the currency crisis events a®ecting a number of East Asian countries during the 1997-1998 period. The Dynamic factor model improves upon a number of competing model, in terms of out of sample forecasting performance

Keywords: Financial Contagion; Dynamic Factor Model; Stochastic Simulation (search for similar items in EconPapers)
JEL-codes: C32 C51 F34 (search for similar items in EconPapers)
Date: 2006-07-04
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fmk, nep-for and nep-sea
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Forecasting financial crises and contagion in Asia using dynamic factor analysis (2009)
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 (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:477

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