A Dynamic Factor Analysis of Financial Contagion in Asia

Queen Mary Economics Working Paper No. 498

17 Pages Posted: 9 Oct 2003

See all articles by Andrea Cipollini

Andrea Cipollini

University of Palermo - d/SEAS; Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics; Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN)

George Kapetanios

King's College, London

Abstract

In this paper we compared the performance of country specific and regional indicators of reserve adequacy in predicting, out of sample, the balance of payment crisis affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve reserve adequacy indicators. The empirical findings suggest clear evidence of financial contagion.

Keywords: Financial contagion, Dynamic factor model

JEL Classification: C32, C51, F34

Suggested Citation

Cipollini, Andrea and Kapetanios, George, A Dynamic Factor Analysis of Financial Contagion in Asia. Queen Mary Economics Working Paper No. 498. Available at SSRN: https://ssrn.com/abstract=428620 or http://dx.doi.org/10.2139/ssrn.428620

Andrea Cipollini (Contact Author)

University of Palermo - d/SEAS ( email )

Viale delle Scienze, edificio 13
Palermo, 90124
Italy

Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics ( email )

Viale Berengario 51
41100 Modena, Modena 41100
Italy

Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN) ( email )

via Berengario 51
Modena, modena I-41100
Italy

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

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