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Deterministic Chaos in Exchange Rates?

Author

Listed:
  • Bask , Mikael

    (Department of Economics, Umeå University)

Abstract

Can nominal exchange rates be characterised by deterministic chaos? To answer this question, a statistical framework utilising blockwise bootstrap was used to test for the presence of a positive Lyapunov exponent in a time series. In most cases, the null hypothesis of a non-positive Lyapunov exponent characterising the time series was rejected.

Suggested Citation

  • Bask , Mikael, 1997. "Deterministic Chaos in Exchange Rates?," Umeå Economic Studies 453, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0453
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    Citations

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    Cited by:

    1. Gencer, Murat & Unal, Gazanfer, 2016. "Testing Non-Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities," MPRA Paper 74115, University Library of Munich, Germany.
    2. 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.

    More about this item

    Keywords

    Deterministic chaos; Dynamical systems; Exchange rates; Moving blocks bootstrap.;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

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