ABSENCE OF CHAOS AND 1/f SPECTRA, BUT EVIDENCE OF TAR NONLINEARITIES, IN THE CANADIAN EXCHANGE RATE
AbstractThis paper uses daily observations for the Canadian dollar U.S. dollar exchange rate over the recent flexible exchange-rate period (from January 2, 1974, to October 28, 2002), and various tests from dynamical systems theory, such as a chaos test, a self-organized criticality test, and a threshold effects test, to support a stochastic nonlinear origin for the series.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Macroeconomic Dynamics.
Volume (Year): 8 (2004)
Issue (Month): 04 (September)
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- Daniela Federici & Giancarlo Gandolfo, 2011.
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- Federici, Daniela & Gandolfo, Giancarlo, 2012. "The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 670-681.
- Karl Pinno & Apostolos Serletis, 2005. "Long swings in the Canadian dollar," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 73-76.
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