Cross-country hierarchical structure and currency crisis

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

Papers from arXiv.org

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

Date: 2005-08
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/physics/0508188 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0508188

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().