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SOM-based Data Analysis of Speculative Attacks' Real Effects

  • 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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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
Date of revision:
Handle: RePEc:wpa:wuwpif:0507001
Note: Type of Document - pdf; pages: 54
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  1. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1995. "Speculative attacks on pegged exchange rates: an empirical exploration with special reference to the European Monetary System," Working Papers in Applied Economic Theory 95-04, Federal Reserve Bank of San Francisco.
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