Cross-country hierarchical structure and currency crises

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...

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Detalles Bibliográficos
Autores principales: Ortega, G.J., Matesanz, D.
Formato: JOUR
Materias:
Econophysics
MST
Real exchange rate
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_01291831_v17_n3_p333_Ortega
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id todo:paper_01291831_v17_n3_p333_Ortega
record_format dspace
spelling todo:paper_01291831_v17_n3_p333_Ortega2023-10-03T14:58:05Z Cross-country hierarchical structure and currency crises Ortega, G.J. Matesanz, D. Econophysics MST Real exchange rate 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. © World Scientific Publishing Company. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_01291831_v17_n3_p333_Ortega
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Econophysics
MST
Real exchange rate
spellingShingle Econophysics
MST
Real exchange rate
Ortega, G.J.
Matesanz, D.
Cross-country hierarchical structure and currency crises
topic_facet Econophysics
MST
Real exchange rate
description 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. © World Scientific Publishing Company.
format JOUR
author Ortega, G.J.
Matesanz, D.
author_facet Ortega, G.J.
Matesanz, D.
author_sort Ortega, G.J.
title Cross-country hierarchical structure and currency crises
title_short Cross-country hierarchical structure and currency crises
title_full Cross-country hierarchical structure and currency crises
title_fullStr Cross-country hierarchical structure and currency crises
title_full_unstemmed Cross-country hierarchical structure and currency crises
title_sort cross-country hierarchical structure and currency crises
url http://hdl.handle.net/20.500.12110/paper_01291831_v17_n3_p333_Ortega
work_keys_str_mv AT ortegagj crosscountryhierarchicalstructureandcurrencycrises
AT matesanzd crosscountryhierarchicalstructureandcurrencycrises
_version_ 1807318252222676992

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