CROSS-COUNTRY HIERARCHICAL STRUCTURE AND CURRENCY CRISES

DOI10.1142/S012918310600856XzbMATHOpenAlexMaRDI QIDQ5481785FDO

Authors Guillermo Ortega, David Matesanz

Publication date 24 August 2006

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

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

zbMATH Keywords

MSTeconophysicsreal exchange rate

Mathematics Subject Classification ID

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

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

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Cites work

• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• Introducing false EUR and false EUR exchange rates
• Introduction to Econophysics
• Some distance properties of latent root and vector methods used in multivariate analysis

Cited in

(5)

• Why clashes between internal and external stability goals end in currency crises
• DYNAMICS AND STRUCTURE OF THE MAIN ITALIAN COMPANIES
• A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES
• scientific article; zbMATH DE number 1090987 (Why is no real title available?)
• AN ATTEMPT TO OBSERVE ECONOMY GLOBALIZATION: THE CROSS CORRELATION DISTANCE EVOLUTION OF THE TOP 19 GDP'S

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