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News Cohesiveness Index datasets

These datasets accompany the article: "News Cohesiveness: an Indicator of Systemic Risk in Financial Markets" (last version updated 12.02.2014.):

World Bank indicators datasets

We plan to consolidate a FOC-specific database containing different types of country level socio-economic indicators and produce datasets targeting specific problems. At the moment we have assembled several datasets by combining a subset of World Bank indicators and IMF banking crises data.

WB indicators+banking crises (WBiBC) datasets: Several datasets have been assembled by combining socio-economic indicators from the World Bank data repository and IMF country related crises episodes (banking, currency, sovereign debt crisis - based on the IMF Working paper by Laeven and Valencia „Systemic Banking Crises: A New Database“, 2008). These datasets are in tab delimited format (tsv) and can be easily read into any statistics or data mining tool; they are constructed as country-panel data, with indicator's aggregated values and trends within intervals of 3-5 years. These explanatory variables are coupled with indication of crisis/non-crisis for the particular interval, thus comprising a typical set of positive/negative cases that can be subjected to diverse data mining or statistical analyses.

Procedure for construction of datasets is illustrated on the diagram bellow:

Procedure for construction of datasets: For positive examples we take three years before each crisis and calculate 9 values for each of the 105 indicators. For negative examples we do the same, only difference being that we take one of the non-crisis years that is exactly 10 years away from the nearest crisis year.

105 World Bank indicators 2008

105 World Bank indicators 2012

IMF Financial crisis episodes database 2012

RCA data

This is a dataset on RCA (Relative Comparative Advantage) of countries that export particular product. It is based on C. Hidalgo dataset published here. The definition of RCA is: $$ RCA(c,i) = \frac{ \frac{x(c,i)}{\sum_i x(c,i)} }{ \frac{\sum_c x(c,i)}{\sum_{i,c} x(c,i)} } $$ where $x(c,i)$ is the value of the exports of country c in the i'th good. For the description of product codes used in this dataset please refer to the original sources here and here.

Datasets for FOC school

These are the RapidMiner datasets that will be used in FOC school in Lucca. (last version updated 12.10.2012.)