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SOM-based Data Analysis of Speculative Attacks' Real Effects

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Author Info
Ismael E Arciniegas Rueda (Constellation New Energy)
Fabio Arciniegas (Central American Bank of Economic Integration)

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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

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Paper provided by EconWPA in its series International Finance with number 0507001.

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Length: 54 pages
Date of creation: 04 Jul 2005
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Handle: RePEc:wpa:wuwpif:0507001

Note: Type of Document - pdf; pages: 54
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Web page: http://129.3.20.41

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Related research
Keywords: exploratory data analysis; self-organizing maps; neural networks; speculative attacks' real effects;

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Find related papers by JEL classification:
F3 - International Economics - - International Finance
F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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