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Cross-country hierarchical structure and currency crisis

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  • Guillermo J. Ortega
  • David Matesanz

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

Suggested Citation

  • Guillermo J. Ortega & David Matesanz, 2005. "Cross-country hierarchical structure and currency crisis," Papers physics/0508188, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0508188
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    References listed on IDEAS

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    1. Mr. Zhiwei Zhang, 2001. "Speculative Attacks in the Asian Crisis," IMF Working Papers 2001/189, International Monetary Fund.
    2. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
    3. Graciela L. Kaminsky & Carmen M. Reinhart & Carlos A. Végh, 2003. "The Unholy Trinity of Financial Contagion," Journal of Economic Perspectives, American Economic Association, vol. 17(4), pages 51-74, Fall.
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    Cited by:

    1. Danau, Daniel, 2020. "Prudence and preference for flexibility gain," European Journal of Operational Research, Elsevier, vol. 287(2), pages 776-785.
    2. Zeitsch, Peter J. & Davis, Tom P., 2021. "The price determinants of contingent convertible bonds," Finance Research Letters, Elsevier, vol. 43(C).
    3. David Matesanz Gomez & Guillermo J. Ortega & Benno Torgler, 2012. "Synchronization and Diversity in Business Cycles: A Network Approach Applied to the European Union," CREMA Working Paper Series 2012-01, Center for Research in Economics, Management and the Arts (CREMA).
    4. Kartikay Gupta & Niladri Chatterjee, 2020. "Examining Lead-Lag Relationships In-Depth, With Focus On FX Market As Covid-19 Crises Unfolds," Papers 2004.10560, arXiv.org, revised May 2020.
    5. David Matesanz Gomez & Guillermo J. Ortega & Benno Torgler, 2011. "Measuring globalization: A hierarchical network approach," CREMA Working Paper Series 2011-11, Center for Research in Economics, Management and the Arts (CREMA).
    6. Tan Le & Franck Martin & Duc Nguyen, 2018. "Dynamic connectedness of global currencies: a conditional Granger-causality approach," Working Papers hal-01806733, HAL.
    7. Brida, Juan Gabriel & Esteban, Laura Parte & Risso, Wiston Adrián & Such Devesa, María Jesús, 2010. "The international hotel industry in Spain: Its hierarchical structure," Tourism Management, Elsevier, vol. 31(1), pages 57-73.
    8. Mansooreh Kazemilari & Ali Mohamadi, 2018. "Topological Network Analysis Based on Dissimilarity Measure of Multivariate Time Series Evolution in the Subprime Crisis," IJFS, MDPI, vol. 6(2), pages 1-16, May.
    9. David Matesanz Gomez & Benno Torgler & Guillermo J. Ortega, 2013. "Measuring Global Economic Interdependence: A Hierarchical Network Approach," The World Economy, Wiley Blackwell, vol. 36(12), pages 1632-1648, December.

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