An economic and financial turbulence index: The Mexican case 1996-2017

Jorge Omar Razo-De-Anda, Salvador Cruz-Aké, Francisco Venegas-Martínez, Francisco López-Herrera

Research output: Contribution to journalArticleResearchpeer-review

Abstract

© 2018, ASERS Publishing House. All rights reserved. This paper is aimed at providing an economic and financial turbulence index useful to determine the source factors and root causes of any type of crisis. The methodology is based on Minsky’s (1974) Financial Instability Hypothesis and on Mahalanobis’ distance. To do that, the dinamic correlations among Minsky’s financial dimensions and principal component analysis are examined. The Mexican case is studied since in the last decades, it has undergone two financial crises that seem to have had different root causes and features.
Original languageAmerican English
Pages (from-to)871-888
Number of pages782
JournalJournal of Applied Economic Sciences
StatePublished - 1 Jan 2018

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Economics
Financial instability
Factors
Financial crisis
Turbulence
Principal component analysis
Methodology
Mahalanobis distance

Cite this

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An economic and financial turbulence index: The Mexican case 1996-2017. / Razo-De-Anda, Jorge Omar; Cruz-Aké, Salvador; Venegas-Martínez, Francisco; López-Herrera, Francisco.

In: Journal of Applied Economic Sciences, 01.01.2018, p. 871-888.

Research output: Contribution to journalArticleResearchpeer-review

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