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Expectations and chaotic dynamics: Empirical evidence on exchange rates

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  • Resende, Marcelo
  • Zeidan, Rodrigo M.

Abstract

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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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 1 (April)
Pages: 33-35

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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:33-35

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  1. Bajo-Rubio, Oscar & Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1992. "Chaotic behaviour in exchange-rate series : First results for the Peseta--U.S. dollar case," Economics Letters, Elsevier, vol. 39(2), pages 207-211, June.
  2. Swarna Dutt & Dipak Ghosh, 1997. "Are experts' expectations rational? A multicurrency analysis," Applied Economics, Taylor & Francis Journals, vol. 29(6), pages 803-812.
  3. Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, 09.
  4. Sergio Da Silva, 2001. "Chaotic Exchange Rate Dynamics Redux," Open Economies Review, Springer, vol. 12(3), pages 281-304, July.
  5. Frank, Murray Z. & Stengos, Thanasis, 1988. "Some evidence concerning macroeconomic chaos," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 423-438.
  6. Paul Grauwe & Hans Dewachter, 1993. "A chaotic model of the exchange rate: The role of fundamentalists and chartists," Open Economies Review, Springer, vol. 4(4), pages 351-379, December.
  7. Chappell, David, 1997. "Chaotic Behaviour in a Simple Model of Inflation," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(3), pages 235-43, June.
  8. Resende, Marcelo, 2000. "Nonlinear Dynamics in Expectations: An Empirical Study," Bulletin of Economic Research, Wiley Blackwell, vol. 52(2), pages 167-73, April.
  9. Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930.
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Cited by:
  1. Webel, Karsten, 2012. "Chaos in German stock returns — New evidence from the 0–1 test," Economics Letters, Elsevier, vol. 115(3), pages 487-489.
  2. Daniela Federici & Giancarlo Gandolfo, 2011. "The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?," CESifo Working Paper Series 3420, CESifo Group Munich.
  3. 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.

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