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A Chaotic Monetary Model of the Exchange Rate

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Author Info
De Grauwe, Paul
Dewachter, Hans

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Abstract

We use a monetary (Dornbusch) model of the exchange rate and introduce speculative dynamics, in which fundamentalists and chartists interact. The resulting non-linearities in the model produce `chaotic' behaviour of the exchange rate. We also analyse the effects of money-stock surprises in such a model. Finally, we study the behaviour of the exchange rate when `news' occurs infrequently.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 466.

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Date of creation: Oct 1990
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Handle: RePEc:cpr:ceprdp:466

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Related research
Keywords: Chaos; Chartism; Fundamental Analysis; Monetary Exchange Model;

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  1. Jeffrey A. Frankel, 1996. "How Well do Foreign Exchange Markets Function: Might a Tobin Tax Help?," NBER Working Papers 5422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Daniela Federici & Giancarlo Gandolfo, 2001. "Chaos and the exchange rate," CeNDEF Workshop Papers, January 2001 4A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    Other versions:
  3. David Peel & Alan Speight, 1994. "Testing for non-linear dependence in inter-war exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(2), pages 391-417, June. [Downloadable!] (restricted)
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This page was last updated on 2009-11-25.

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