Resumen

BRIDA, Juan Gabriel; MATESANZ GOMEZ, David  y  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.

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

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