Network analysis of exchange data: Interdependence drives crisis contagion
AbstractIn 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 7720.
Date of creation: 12 Mar 2008
Date of revision:
econophysics; linear co-movements; phase synchronous co-movements; MST; interdependence and contagion;
Other versions of this item:
- David Matesanz & Guillermo Ortega, 2014. "Network analysis of exchange data: interdependence drives crisis contagion," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
- F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-15 (All new papers)
- NEP-IFN-2008-03-15 (International Finance)
- NEP-OPM-2008-03-15 (Open Economy Macroeconomics)
- NEP-SEA-2008-03-15 (South East Asia)
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