Neuro-Fuzzy Modeling Techniques in Economics

Neuro-Fuzzy Modeling Techniques in Economics

Neuromodeling of features of crisis contagion on financial markets between countries with different levels of economic development

DOI:

10.33111/nfmte.2021.136

Анотація:
Abstract: The study examines the problem of modeling the effects of the spread of crises between countries with different levels of economic development. The main focus is on the study of the spread of crisis contagions from the economy of the source country to the economies of the recipient countries. The authors conducted a fundamental analysis of the basic theoretical concepts, causes and mechanisms of crisis in the world economy. The relevant study was carried out in the context of certain types of financial crises.
A methodological approach to modeling the processes of crisis contagion through financial and trade transmission channels has been developed and substantiated. In particular, a method of classifying economies according to the level of behavioral similarity of individual indicators of resilience within two years after the end of the latency period is proposed. The practical implementation of the technique in the form of a cyclic algorithm in the MATLAB system is performed.
Approbation of the created software is performed on the data of the world financial crisis of 2008-2009.
The obtained distribution of world economies and the calculation of statistical characteristics for each cluster made it possible to identify nine scenarios of economic development under the influence of crossborder processes of crisis. The influence of the type of exchange rate regime on the dynamics of the exchange rate during two years after the end of the latent period is analyzed separately. The analysis of the exchange rate in clusters showed that there is a certain relationship between the type of currency regime and the consequences of the crisis in domestic financial markets
Ключові слова:
Key words: financial crisis, channels of crisis spreading, latency period, macroeconomic indicator, rank coefficient of concordance, neural network, Kohonen map
УДК:
UDC:

JEL: C45 F36 G01 G15 G17

To cite paper
In APA style
Lukianenko, D., & Strelchenko, I. (2021). Neuromodeling of features of crisis contagion on financial markets between countries with different levels of economic development. Neuro-Fuzzy Modeling Techniques in Economics, 10, 136-163. http://doi.org/10.33111/nfmte.2021.136
In MON style
Лук'яненко Д.Г., Стрельченко І. Neuromodeling of features of crisis contagion on financial markets between countries with different levels of economic development. Нейро-нечіткі технології моделювання в економіці. 2021. № 10. С. 136-163. http://doi.org/10.33111/nfmte.2021.136 (дата звернення: 17.05.2024).
With transliteration
Lukianenko, D., Strelchenko, I. (2021) Neuromodeling of features of crisis contagion on financial markets between countries with different levels of economic development. Neuro-Fuzzy Modeling Techniques in Economics, no. 10. pp. 136-163. http://doi.org/10.33111/nfmte.2021.136 (accessed 17 May 2024).
# 10 / 2021 # 10 / 2021
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