Expectations and chaotic dynamics: Empirical evidence on exchange rates
AbstractThe 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 99 (2008)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/ecolet
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