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:	June 18, 2018
Authors:	Belaire-Franch, Jorge
Publisher:	[Kiel] : [Kiel Inst. 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

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Extent:	1 Online-Ressource (9 Seiten)
Series:	Economics ; vol. 12, 2018-37
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.5018/economics-ejournal.ja.2018-37 [DOI] hdl:10419/179928 [Handle]
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011863440