Combining a dynamic version of Kohonen algorithm and a two-regime Markov switching model : an application to the periodization of international bimetallism (1821-1873)

Abstract : Before the gold standard spread over the world in the 1870s, the international monetary system relied on two metals, gold and silver. An European monetary system was then de facto in operation, connecting three monetary zones. Series of pertinent variables have been built on the basis of the information extracted from relevant newspapers twice a week. A dynamic interpretation of SOM is proposed to reveal the periodization of international bimetallism in the 19th century. The Kohonen algorithm is used to obtain a grouping of weekly observation into homogeneous classes of exchange rates and prices which are then grouped in a small number of super classes. Each super class represents a set of sub-periods during which the variables show close profiles. A Two regime Markov switching model is estimated to reveal the main relations between the variables of interest.
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Article dans une revue
Revista Investigacion Operacional, 2007, 28 (2), pp.143-156
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https://hal.archives-ouvertes.fr/hal-00308847
Contributeur : Madalina Olteanu <>
Soumis le : samedi 2 août 2008 - 16:11:55
Dernière modification le : samedi 2 août 2008 - 16:11:55

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  • HAL Id : hal-00308847, version 1

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Marie-Thérèse Boyer-Xambeu, Ghislain Deleplace, Patrice Gaubert, Lucien Gillard, Madalina Olteanu. Combining a dynamic version of Kohonen algorithm and a two-regime Markov switching model : an application to the periodization of international bimetallism (1821-1873). Revista Investigacion Operacional, 2007, 28 (2), pp.143-156. <hal-00308847>

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