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CROSS-COUNTRY HIERARCHICAL STRUCTURE AND CURRENCY CRISES

Guillermo J. Ortega () and David Matesanz ()
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Guillermo J. Ortega: Department of Physics, Universidad de Buenos Aires and CONICET, Ciudad Universitaria, Pabellón I, 1428, Buenos Aires, Argentine
David Matesanz: Department of Applied Economics, Universidad de Oviedo, Avda. Cristo s/n, 33006, Oviedo, Spain

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

International Journal of Modern Physics C (IJMPC), 2006, vol. 17, issue 03, 333-341

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.

Keywords: Econophysics; MST; real exchange rate; 02.50.Sk; 89.90.+n (search for similar items in EconPapers)
Date: 2006
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Working Paper: Cross-country hierarchical structure and currency crisis (2005) Downloads
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DOI: 10.1142/S012918310600856X

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