Matesanz, David and Ortega, Guillermo J. (2008): Network analysis of exchange data: Interdependence drives crisis contagion.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Network analysis of exchange data: Interdependence drives crisis contagion|
|Keywords:||econophysics, linear co-movements, phase synchronous co-movements, MST, interdependence and contagion|
|Subjects:||F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F40 - General
C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology; Computer Programs > C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||David Matesanz|
|Date Deposited:||12. Mar 2008 18:55|
|Last Modified:||18. Feb 2013 22:45|
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