Guillermo J. Ortega

Cross-Country Hierarchical Structure And Currency Crises

Using data from a sample of 28 representatives countries, we propose a classification of currency crises consequences based on the ultrametric analysis of the real exchange rate movements time series, without any further assumption. By using the matrix of synchronous linear correlation coefficients and the appropriate metric distance between pairs of countries, we were able to construct a hierarchical tree of countries. This economic taxonomy provides relevant information regarding liaisons between countries and a meaningful insight about the contagion phenomenon.

A (Econophysics) Note On Volatility In Exchange Rate Time Series Entropy As A Ranking Criterion

We propose a volatility and uncertainty country ranking based on the entropic analysis of the real exchange rate dynamics. We show that this ranking is highly correlated with the volatility in the gross domestic product after events of currency crises. By comparing entropy with variance ranking we demonstrate that entropy measures better volatility effects of crises.

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.