Long term economic relationships from cointegration maps

Artigo

Fecha

2007-07-01

Registro en:

Physica A-statistical Mechanics and Its Applications. Amsterdam: Elsevier B.V., v. 380, p. 317-324, 2007.

0378-4371

http://hdl.handle.net/11449/38515

10.1016/j.physa.2007.02.067

WOS:000247243600027

0500034174785796

http://repositorioslatinoamericanos.uchile.cl/handle/2250/3909832

Autor

Universidade de São Paulo (USP)

Universidade Estadual Paulista (Unesp)

Institución

Universidade Paulista Júlio de Mesquita Filho (Brasil)

Resumen

We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the sorting points into neighborhoods (SPIN) technique, which has been previously used to analyze large data sets from DNA arrays. We exemplify the technique in three data sets: US interest rates (USIR), monthly inflation rates and gross domestic product (GDP) growth rates. (c) 2007 Elsevier B.V. All rights reserved.

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