Network analysis of exchange data: Interdependence drives crisis contagion

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

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we detect the linear and nonlinear co-movements presented on the real exchange rate in a group of 28 developed and developing countries that have suffered currency and financial crises during 15 years. We have used the matrix of Pearson correlation and Phase Synchronous (PS) coefficients and an appropriate metric distance between pairs of countries in order to construct a topology and hierarchies by using the Minimum Spanning Tree (MST). In addition, we have calculated the MST cost and global correlation coefficients to observe the co-movements dynamics along the time sample. By comparing Pearson and phase synchronous information we address a new methodology that can uncover meaningful information on the contagion economic issue and, more generally, in the debate around interdependence and/or contagion among financial time series. Our results suggest some evidence of contagion in the Asian currency crises but this crisis contagion is due to previous and stable interdependence.

Keywords: econophysics; linear co-movements; phase synchronous co-movements; MST; interdependence and contagion (search for similar items in EconPapers)
JEL-codes: C82 F31 F40 (search for similar items in EconPapers)
Date: 2008-03-12
New Economics Papers: this item is included in nep-ifn, nep-opm and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Network analysis of exchange data: interdependence drives crisis contagion (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:7720

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