CROSS-COUNTRY HIERARCHICAL STRUCTURE AND CURRENCY CRISES

DOI10.1142/S012918310600856XzbMATH Open1187.91155arXivphysics/0508188OpenAlexW1965348088MaRDI QIDQ5481785FDOQ5481785

Authors: Guillermo Ortega, David Matesanz 

Publication date: 24 August 2006

Published in: International Journal of Modern Physics C (Search for Journal in Brave)

Abstract: Using data from a sample of 28 representatives countries, we propose a classification of currency crises consequences based on the ultrametric analysis of the real exchange rate movements time series, without any further assumption. By using the matrix of synchronous linear correlation coefficients and the appropriate metric distance between pairs of countries, we were able to construct a hierarchical tree of countries. This economic taxonomy provides relevant information regarding liaisons between countries and a meaningful insight about the contagion phenomenon

Full work available at URL: https://arxiv.org/abs/physics/0508188

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zbMATH Keywords

MSTeconophysicsreal exchange rate

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Introduction to Econophysics
• Some distance properties of latent root and vector methods used in multivariate analysis
• Title not available (Why is that?)
• Introducing false EUR and false EUR exchange rates

Cited In (5)

• AN ATTEMPT TO OBSERVE ECONOMY GLOBALIZATION: THE CROSS CORRELATION DISTANCE EVOLUTION OF THE TOP 19 GDP'S
• DYNAMICS AND STRUCTURE OF THE MAIN ITALIAN COMPANIES
• A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES
• Title not available (Why is that?)
• Why clashes between internal and external stability goals end in currency crises

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