Cluster structure of EU-15 countries derived from the correlation matrix analysis of macroeconomic index fluctuations

DOI10.1140/EPJB/E2007-00132-5zbMATH Open1189.91108arXivphysics/0607098OpenAlexW2071637942MaRDI QIDQ978800FDOQ978800

Authors: J. Martínez 

Publication date: 25 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Abstract: The statistical distances between countries, calculated for various moving average time windows, are mapped into the ultrametric subdominant space as in classical Minimal Spanning Tree methods. The Moving Average Minimal Length Path (MAMLP) algorithm allows a decoupling of fluctuations with respect to the mass center of the system from the movement of the mass center itself. A Hamiltonian representation given by a factor graph is used and plays the role of cost function. The present analysis pertains to 11 macroeconomic (ME) indicators, namely the GDP (x1), Final Consumption Expenditure (x2), Gross Capital Formation (x3), Net Exports (x4), Consumer Price Index (y1), Rates of Interest of the Central Banks (y2), Labour Force (z1), Unemployment (z2), GDP/hour worked (z3), GDP/capita (w1) and Gini coefficient (w2). The target group of countries is composed of 15 EU countries, data taken between 1995 and 2004. By two different methods (the Bipartite Factor Graph Analysis and the Correlation Matrix Eigensystem Analysis) it is found that the strongly correlated countries with respect to the macroeconomic indicators fluctuations can be partitioned into stable clusters.

Full work available at URL: https://arxiv.org/abs/physics/0607098

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Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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• Simple approaches on how to discover promising strategies for efficient enterprise performance, at time of crisis in the case of SMEs: Voronoi clustering and outlier effects perspective
• The homogeneity of two sets of European economies
• Economic fluctuations and fiscal policy in Europe: a political business cycles approach using panel data and clustering (1996--2013)

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