Application of Langevin Equation in Econometrics to the Interaction between the Exchange Rates of Japan and South Korea

This articles presents and application of statistical physics to economic relationships, based on the fluctuation-dissipation theorem and the anomalous fluctuation therorem, and the Langevin equation. In the framework of time series which follow the Langevin equation, the interaction of two time series can be treated. The application to the won-dollar and yen-dollar rates shows that the former fluctuates under the influence of the latter.

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Year of publication:	2003
Authors:	Obara, Takashi
Published in:	Applied Econometrics and International Development. - Euro-American Association of Economic Development. - Vol. 3.2003, 3
Publisher:	Euro-American Association of Economic Development

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Type of publication:	Article
Language:	English
Classification:	C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004965361