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SOM-based Data Analysis of Speculative Attacks' Real Effects

Author

Listed:
  • Ismael E Arciniegas Rueda

    (Constellation New Energy)

  • Fabio Arciniegas

    (Central American Bank of Economic Integration)

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

Suggested Citation

  • Ismael E Arciniegas Rueda & Fabio Arciniegas, 2005. "SOM-based Data Analysis of Speculative Attacks' Real Effects," International Finance 0507001, EconWPA.
  • Handle: RePEc:wpa:wuwpif:0507001
    Note: Type of Document - pdf; pages: 54
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0507/0507001.pdf
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Ismael Arciniegas Rueda, 2012. "Empirical Analysis Of Speculative Attacks With Contractionary Real Effects," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(2), pages 102-127, April.
    2. Sarlin, Peter & Peltonen, Tuomas A., 2013. "Mapping the state of financial stability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 46-76.
    3. Sarlin, Peter & Peltonen, Tuomas A., 2013. "Mapping the state of financial stability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 46-76.
    4. Sarlin, Peter, 2014. "Macroprudential oversight, risk communication and visualization," LSE Research Online Documents on Economics 61217, London School of Economics and Political Science, LSE Library.

    More about this item

    Keywords

    exploratory data analysis; self-organizing maps; neural networks; speculative attacks' real effects;

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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