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SOM-based Data Analysis of Speculative Attacks' Real Effects

Listed author(s):
  • Ismael E Arciniegas Rueda

    (Constellation New Energy)

  • Fabio Arciniegas

    (Central American Bank of Economic Integration)

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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File URL: http://econwpa.repec.org/eps/if/papers/0507/0507001.pdf
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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
Handle: RePEc:wpa:wuwpif:0507001
Note: Type of Document - pdf; pages: 54
Contact details of provider: Web page: http://econwpa.repec.org

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  1. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
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  17. Reinhart, Carmen & Calvo, Guillermo, 2000. "When Capital Inflows Come to a Sudden Stop: Consequences and Policy Options," MPRA Paper 6982, University Library of Munich, Germany.
  18. repec:wop:calsdi:99-07r is not listed on IDEAS
  19. Matthew Higgins & Thomas Klitgaard, 2000. "Asia's trade performance after the currency crisis," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 37-49.
  20. Caprio Jr., Gerard, 1998. "Banking on crises : expensive lessons from recent financial crises," Policy Research Working Paper Series 1979, The World Bank.
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