Cross-country hierarchical structure and currency-crisis

G. ORTEGA AND D. MATESANZ

INTERNATIONAL JOURNAL OF MODERN PHYSICS C

Año: 2006 vol. 17 p. 333 - 341

0129-1831

Using data from a sample of 28 representatives countries, we propose a classicationof currency crises consequences based on the ultrametric analysis of the real exchangerate movements time series, without any further assumption. By using the matrix ofsynchronous linear correlation coecients and the appropriate metric distance betweenpairs of countries, we were able to construct a hierarchical tree of countries. This eco-nomic taxonomy provides relevant information regarding liaisons between countries anda meaningful insight about the contagion phenomenon.