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SOM-based Data Analysis of Speculative Attacks' Real Effects

Ismael Arciniegas Rueda and Fabio Arciniegas
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Fabio Arciniegas: Central American Bank of Economic Integration

International Finance from University Library of Munich, Germany

Abstract: In some cases, currency crises are followed by strong recessions (e.g., recent Asian and Argentinean crises), but in other cases they are not. This paper uses Self-Organizing Maps (SOM) to search for meaningful associations between speculative attacks' real effects and 28 variables that characterize the economic, financial, legal, and socio-political structure of the country at the onset of the attack. SOM is a neural network-based generalization of Principal Component Analysis (PCA) that provides an efficient non-linear projection of the multidimensional data space on a curved surface. This paper finds a strong association of speculative attacks' real effects with fundamentals and the banking sector structure

Keywords: exploratory data analysis; self-organizing maps; neural networks; speculative attacks' real effects (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp
Date: 2005-07-04
Note: Type of Document - pdf; pages: 54
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