کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10480889 | 933005 | 2013 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Spanning trees and the Eurozone crisis
ترجمه فارسی عنوان
درختان دراز و بحران منطقه یورو
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کلمات کلیدی
حداکثر درخت درختی منطقه یورو، بدهی دولتی، اوراق قرضه دولتی، بحران،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
The sovereign debt crisis in the euro area has not yet been solved and recent developments in Spain and Italy have further deteriorated the situation. In this paper we develop a new approach to analyze the ongoing Eurozone crisis. Firstly, we use Maximum Spanning Trees to analyze the topological properties of government bond rates' dynamics. Secondly, we combine the information given by both Maximum and Minimum Spanning Trees to obtain a measure of market dissimilarity or disintegration. Thirdly, we extend this measure to include a convenient distance not limited to the interval [0, 2]. Our empirical results show that Maximum Spanning Tree gives an adequate description of the separation of the euro area into two distinct groups: those countries strongly affected by the crisis and those that have remained resilient during this period. The measures of market dissimilarity also reveal a persistent separation of these two groups and, according to our second measure, this separation strongly increased during the period July 2009-March 2012.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 392, Issue 23, 1 December 2013, Pages 5974-5984
Journal: Physica A: Statistical Mechanics and its Applications - Volume 392, Issue 23, 1 December 2013, Pages 5974-5984
نویسندگان
João Dias,