David Matesanz Gómez

Symbolic hierarchical analysis in currency markets

In this paper we introduce a new method to describe dynamical patterns of the real exchange rate co-movements time series and to analyze contagion in currency crisis. The method combines the tools of symbolic time series analysis with the nearest neighbor single linkage clustering algorithm. Data symbolization allows us obtaining a metric distance between two different time series that is used to construct an ultrametric distance. By analyzing the data of various countries, we derive a hierarchical organization, constructing minimal-spanning and hierarchical trees. From these trees we detect different clusters of countries according to their proximity. We show that this methodology permits us to construct a structural and dynamic topology that is useful to study interdependence and contagion effects among financial time series.

Long- and short-run balance of payments adjustment: Argentine economic growth constrained

This article addresses insights on Argentinas slowness growth performance throughout the period 1968 to 2003 and, especially, on its recent crisis in 2002. Using time series unit roots tests, vector auto-regresive models and cointegration tests, this study deals with the effect of the external sector constraint on Argentinean output expansion and, in particular, with the empirical validation of a variant of Thirlwalls Law. The results suggest that, in the long-run, there exists a stable relationship between economic growth, exports and even terms of trade. These findings allow us to conclude that Argentinas international payments position constraints its economic activity.This article addresses insights on Argentinas slowness growth performance throughout the period 1968 to 2003 and, especially, on its recent crisis in 2002. Using time series unit roots tests, vector auto-regresive models and cointegration tests, this study deals with the effect of the external sector constraint on Argentinean output expansion and, in particular, with the empirical validation of a variant of Thirlwalls Law. The results suggest that, in the long-run, there exists a stable relationship between economic growth, exports and even terms of trade. These findings allow us to conclude that Argentinas international payments position constraints its economic activity.

Synchronization and diversity in business cycles: a network analysis of the European Union

ABSTRACT In this article, we use a correlation matrix and its internal networks to analyse business cycle synchronization across Europe since 2000. This methodology allows us to summarize individual country interactions and co-movements while also capturing the existing heterogeneity of connectivity within the European economic system. Our results indicate that synchronization of the euro zone countries remained stable from 1999 until the current financial crisis, after which co-movements increased sharply and synchronization rose to the highest in the time sample. By endogenously identifying clusters of countries with close connections in their business cycle, we also refute the commonly accepted notion of identifiable core and peripheral euro zone countries.

Trade-Led Growth Hypothesis in Cuban Commercial Regimes Since 1960

This study examines the impact of trade on Cuban growth during different commercial policy regimes spanning the period from 1960 up to 2004, encompassing two essential economic structural transformations: the Cuban revolution and the fall of the Berlin Wall. For this purpose, the Granger causality is used by means of the modified Wald test for augmented-level vector autoregressive model with integrated and cointegrated processes introduced by Toda and Yamamoto (1995) and Dolado and Lutekepohl (1996). We show an import-led growth hypothesis during the Soviet-oriented pattern that is rejected after 1998 when exports are not only responsive to growth expansion but also to imports behaviour.