Combining a dynamic version of Kohonen algorithm and a two-regime Markov switching model : an application to the periodization of international bimetallism (1821-1873) - Archive ouverte HAL
Article Dans Une Revue Revista Investigacion Operacional Année : 2007

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

Résumé

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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Dates et versions

hal-00308847 , version 1 (02-08-2008)

Identifiants

  • HAL Id : hal-00308847 , version 1

Citer

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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