Zastosowanie analizy skupień do określania ram czasowych ostatniego kryzysu finansowego
The Use of Cluster Analysis to Identify the Time Framework of the Last Financial Crisis

Summary/Abstract: This paper uses cluster analysis in the field of multivariate statistics to test the period of the financial crisis of years 2007–2013.With these algorithms were grouped spreads between interbank market rate and the OIS. The author debates on the possibility of using this method to generate the timeframe of different periods on the interbank market. A real cluster analysis enabled the new observations about the subprime crisis and the occurring after debt crisis. The work refers to the previous publication of the author. It takes into account another data, another period of crisis and modified methodology – instead of attempting division for years, the time periods are of equal length. This algorithm does not shorten the series with losing part of information.

• Details
• Contents