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Investigación económica

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BRIDA, Juan Gabriel; MATESANZ GOMEZ, David  and  RISSO, Wiston Adrián. Hierarchical structure and dynamics in the exchange markets of Latin America. Inv. Econ [online]. 2009, vol.68, n.267, pp.115-146. ISSN 0185-1667.

In this paper we study the hierarchical structure and dynamics of real exchange rate movements in the main Latin American markets. To do this, we introduce a method that combines the symbolic time series analysis (Daw et al., 2003) with the nearest neighbor single linkage clustering algorithm (Mantegna y Stanley, 2000). From symbolization of data we obtain a distance between different time series that can be used to construct a minimal spanning tree (MST), an ultrametric distance and a hierarchical tree (HT). These trees are used to detect dynamic connections and hierarchical organization of the Latin American currency markets from the construction of clusters according to their proximity.

Keywords : time series analysis; minimal spanning tree; hierarchical tree; currency crisis; real exchange rate.

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