Network analysis of exchange data: interdependence drives crisis contagion

David Matesanz () and Guillermo Ortega ()
Authors registered in the RePEc Author Service: David Matesanz Gómez ()

Quality & Quantity: International Journal of Methodology, 2014, vol. 48, issue 4, 1835-1851

Abstract: In this paper, we examine linear and nonlinear co-movements that appear in the real exchange rates of a group of 28 developed and developing countries. The matrix of Pearson correlation and Phase Synchronous coefficients have been used in order to construct a topology and hierarchy of countries by using the Minimum Spanning Tree (MST). In addition, the MST cost and global correlation coefficients have been calculated to observe the co-movements’ dynamics throughout the time sample. By comparing Pearson and Phase Synchronous information, a new methodology is emphasized; one that can uncover meaningful information pertaining to the contagion economic issue and, more generally, the debate surrounding interdependence and/or contagion in financial time series. Our results suggest some evidence of contagion in the Asian currency crises; however, this contagion is driven by previous and stable interdependence. Copyright Springer Science+Business Media Dordrecht 2014

Keywords: Crises; Exchange Rate; Hierarchical Tree (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (15)

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Working Paper: Network analysis of exchange data: Interdependence drives crisis contagion (2008)
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DOI: 10.1007/s11135-013-9855-z

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