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The Time Series Behaviour of Spot Exchange Rates in the German Hyper-inflation Period: (Was the Process Chaotic?)

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  • Peel, D A
  • Yadav, P

Abstract

A discrete time approximation to the continuous time hyper-inflation model of Sargent and Wallace (1993) in which the authorities finance a given budget deficit by printing money appears to admit the possibility of chaotic solutions. In this paper we investigate the time series properties of daily observations on the Pound Reichsmark spot exchange rate in the inter-war hyper-inflation period. Our empirical analysis is suggestive that spot rates were generated by a non-linear possibly chaotic process.

Suggested Citation

  • Peel, D A & Yadav, P, 1995. "The Time Series Behaviour of Spot Exchange Rates in the German Hyper-inflation Period: (Was the Process Chaotic?)," Empirical Economics, Springer, vol. 20(3), pages 455-471.
    • Handle: RePEc:spr:empeco:v:20:y:1995:i:3:p:455-71
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    Cited by:

    1. Hartwell, Christopher A., 2019. "Short waves in Hungary, 1923 and 1946: Persistence, chaos, and (lack of) control," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 532-550.
    2. Zhang, Gioqinang & Hu, Michael Y., 1998. "Neural network forecasting of the British Pound/US Dollar exchange rate," Omega, Elsevier, vol. 26(4), pages 495-506, August.

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