A Positive Lyapunov Exponent in Swedish Exchange Rates?
AbstractCan nominal exchange rates be characterized by deterministic chaos? To answer this question, a statistical framework utilizing a blockwise bootstrap procedure is used to test for the presence of a positive Lyapunov exponent in an observed stochastic time series (Bask and Gencay, 1998). Daily data for the Swedish Krona against the Deutsche Mark, the ECU, the U.S. Dollar and the Yen exchange rates are examined. In most cases, the null hypothesis that the exchange rate series is not generated by a chaotic dynamical system can be rejected and these results are consistent with the hypothesis that the exchange rate series may be characterized by deterministic chaos.
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Bibliographic InfoPaper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 528.
Length: 20 pages
Date of creation: 23 Mar 2000
Date of revision:
Publication status: Published in Chaos, Solitons and Fractals, 2002, pages 1295-1304.
Contact details of provider:
Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Web page: http://www.econ.umu.se/
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Deterministic chaos; Exchange rates; Lyapunov exponents; Moving blocks bootstrap; Phase space reconstruction;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-03-27 (All new papers)
- NEP-FMK-2000-03-27 (Financial Markets)
- NEP-IFN-2000-03-27 (International Finance)
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- Luis-Felipe Zanna & Marco Airaudo, 2012. "Interest Rate Rules, Endogenous Cycles, and Chaotic Dynamics in Open Economies," IMF Working Papers 12/121, International Monetary Fund.
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