Exchange rates expectations and chaotic dynamics: A replication study

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 (IfW)
Subject:	deterministic chaos \| exchange rates \| expectations \| Lyapunov exponents \| 0-1 test

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Series:	Economics Discussion Papers ; 2018-34
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1019374268 [GVK] hdl:10419/177837 [Handle] RePEc:zbw:ifwedp:201834 [RePEc]
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011822180