Expectations and chaotic dynamics: Empirical evidence on exchange rates

The paper investigates the dynamic behavior of exchange rates expectations using four different currencies. The test follows developments advanced by Fernández-Rodriguez et al. [Fernández-Rodriguez, F., Sosvilla-Rivero, S., Andrada-Félix, J., 2005. Testing chaotic dynamics via Lyapunov exponents. Journal of Applied Econometrics, 20, 911-930.]. The evidence, however, does not favor the presence of chaotic dynamics in exchange rate expectations.

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Year of publication:	2008
Authors:	Resende, Marcelo ; Zeidan, Rodrigo M.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 1, p. 33-35
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005355608