6533b7d5fe1ef96bd1265249
RESEARCH PRODUCT
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
Andrea CipolliniGeorge Kapetaniossubject
Economics and EconometricsFinancial contagionforecasting; dynamic factor; currency crisesFinancial contagionFinancial economicsVulnerabilityforecastingProbitFinancial Contagion Dynamic Factor Model Stochastic SimulationFinancial Contagion Dynamic Factor ModelStochastic simulationEconomicsEast AsiaFinancebusiness.industryjel:C51jel:C32Dynamic Factor modelCurrency crisisjel:F34currency crisesDynamic factorPrincipal component analysisbusinessFinancedynamic factordescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2009-01-01 |