Exchange rates expectations and chaotic dynamics : a replication study

Jorge Belaire-Franch

In this paper the author analyzes the behavior of exchange rates expectations for four currencies, by considering a re-calculation and an extension of Resende and Zeidan (Expectations and chaotic dynamics: empirical evidence on exchange rates, Economics Letters, 2008). Considering Lyapunov exponent-based tests results, they are not supportive of chaos in exchange rates expectations, although the so-called 0-1 test strongly supports the chaos hypothesis.

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Year of publication:	[2018]
Authors:	Belaire-Franch, Jorge
Publisher:	Kiel : Kiel Institute for the World Economy
Subject:	Deterministic chaos \| exchange rates \| expectations \| Lyapunov exponents \| 0-1 test \| Wechselkurs \| Exchange rate \| Chaostheorie \| Chaos theory \| Erwartungsbildung \| Expectation formation \| Zeitreihenanalyse \| Time series analysis \| Nichtlineare Dynamik \| Nonlinear dynamics \| Prognoseverfahren \| Forecasting model