dorsal/arxiv
View SchemaCross-country hierarchical structure and currency crisis
| Authors | Guillermo J. Ortega, David Matesanz |
|---|---|
| Categories | |
| ArXiv ID | physics/0508188 |
| URL | https://arxiv.org/abs/physics/0508188 |
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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"abstract": "Using data from a sample of 28 representatives countries, we propose a\nclassification of currency crises consequences based on the ultrametric\nanalysis of the real exchange rate movements time series, without any further\nassumption. By using the matrix of synchronous linear correlation coefficients\nand the appropriate metric distance between pairs of countries, we were able to\nconstruct a hierarchical tree of countries. This economic taxonomy provides\nrelevant information regarding liaisons between countries and a meaningful\ninsight about the contagion phenomenon",
"arxiv_id": "physics/0508188",
"authors": [
"Guillermo J. Ortega",
"David Matesanz"
],
"categories": [
"physics.data-an",
"q-fin.GN"
],
"title": "Cross-country hierarchical structure and currency crisis",
"url": "https://arxiv.org/abs/physics/0508188"
},
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