6533b830fe1ef96bd1297a12
RESEARCH PRODUCT
Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis
Andrea CipolliniAndrea CipolliniGeorge Kapetaniossubject
FinanceFinancial contagionbusiness.industryDynamic factorStochastic simulationPrincipal component analysisEconomicsVulnerabilityProbitEast AsiabusinessCurrency crisisdescription
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 | SSRN Electronic Journal |