NDLI: SVM sensitivity analysis: an application to currency crises aftermaths

Content Provider	IEEE Xplore Digital Library
Author	Rueda, I.E.A. Arciniegas, F.A. Embrechts, M.J.
Copyright Year	1996
Abstract	A currency crisis is an economic event where a country's fixed exchange rate is under pressure by speculators. In some cases, currency crises are followed by strong recessions (e.g., recent Asian and Argentinean crises), but in other cases they are not. This paper seeks to determine what are the most significant factors in explaining the consequences of currency crises on the economy. This paper collects data on 25 variables for 64 currency crises between 1970 and 1999. This research uses a novel algorithm with support vector machines (SVM) for selecting significant variables. This algorithm works well with datasets characterized by nonlinearity and low variable-observation ratio. Variables of banking size and fragility, international trade, and devaluation were the most significant. Variables of banking supervision, economic development, and IMF intervention were found less significant. The variable selection results of the algorithm were compared with all-best subsets variable selection. The results of our algorithm are more consistent with the economic literature than the results from all-best subsets.
Sponsorship	IEEE Systems, Man, and Cybernetics Society
Starting Page	387
Ending Page	398
Page Count	12
File Size	545635
File Format	PDF
ISSN	10834427
Volume Number	34
Issue Number	3
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2004-05-01
Publisher Place	U.S.A.
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Support vector machines Sensitivity analysis Economics Input variables Exchange rates Banking Machine learning algorithms Machine learning Random variables International trade
Content Type	Text
Resource Type	Article
Subject	Control and Systems Engineering Information Systems Electrical and Electronic Engineering Human-Computer Interaction Computer Science Applications Software

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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