Forecasting financial crises and contagion in Asia using dynamic factor analysis
- Autori: Kapetanios, G; Cipollini, A
- Anno di pubblicazione: 2009
- Tipologia: Articolo in rivista (Articolo in rivista)
- OA Link: http://hdl.handle.net/10447/101438
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.