Cluster structure of EU-15 countries derived from the correlation matrix analysis of macroeconomic index fluctuations
The statistical distances between countries, calculated for various moving average time windows, are mapped into the ultrametric subdominant space as in classical Minimal Spanning Tree methods. The Moving Average Minimal Length Path (MAMLP) algorithm allows a decoupling of fluctuations with respect to the mass center of the system from the movement of the mass center itself. A Hamiltonian representation given by a factor graph is used and plays the role of cost function. The present analysis pertains to 11 macroeconomic (ME) indicators, namely the GDP (x 1 ), Final Consumption Expenditure (x 2 ), Gross Capital Formation (x 3 ), Net Exports (x 4 ), Consumer Price Index (y 1 ), Rates of Interest of the Central Banks (y 2 ), Labour Force (z 1 ), Unemployment (z 2 ), GDP/hour worked (z 3 ), GDP/capita (w 1 ) and Gini coefficient (w 2 ). The target group of countries is composed of 15 EU countries, data taken between 1995 and 2004. By two different methods (the Bipartite Factor Graph Analysis and the Correlation Matrix Eigensystem Analysis) it is found that the strongly correlated countries with respect to the macroeconomic indicators fluctuations can be partitioned into stable clusters. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007
Volume (Year): 57 (2007)
Issue (Month): 2 (05)
|Contact details of provider:|| Web page: http://www.springer.com|
Web page: http://publications.edpsciences.org/
|Order Information:||Web: http://www.springer.com/economics/journal/10051|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dorogovtsev, S.N. & Mendes, J.F.F., 2003. "Evolution of Networks: From Biological Nets to the Internet and WWW," OUP Catalogue, Oxford University Press, number 9780198515906, December.
When requesting a correction, please mention this item's handle: RePEc:spr:eurphb:v:57:y:2007:i:2:p:139-146. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.