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Chaos in long-maturity real rates

Author

Listed:
  • Serletis, Apostolos
  • He, Mingyu
  • Chowdhury, M.M. Islam

Abstract

We take advantage of recent advances in quantitative financial history and new chaos detection tools to test for chaos in long-maturity real interest rates (over the past 700 years), for France, Germany, Holland, Italy, Japan, Spain, the United Kingdom, and the United States. We find that the real interest rates of France, Germany, Holland, the United Kingdom, and the United States are stochastic, but those of Italy, Japan, and Spain are chaotic.

Suggested Citation

  • Serletis, Apostolos & He, Mingyu & Chowdhury, M.M. Islam, 2023. "Chaos in long-maturity real rates," Economics Letters, Elsevier, vol. 225(C).
    • Handle: RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000642
    DOI: 10.1016/j.econlet.2023.111039
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    References listed on IDEAS

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    2. Shintani, Mototsugu & Linton, Oliver, 2004. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May.
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    More about this item

    Keywords

    Chaos; Complexity; Real interest rates; Economic fluctuations;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • F3 - International Economics - - International Finance
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative

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