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Application of Langevin Equation in Econometrics to the Interaction between the Exchange Rates of Japan and South Korea

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  • Obara, Takashi

Abstract

This articles presents and application of statistical physics to economic relationships, based on the fluctuation-dissipation theorem and the anomalous fluctuation therorem, and the Langevin equation. In the framework of time series which follow the Langevin equation, the interaction of two time series can be treated. The application to the won-dollar and yen-dollar rates shows that the former fluctuates under the influence of the latter.

Suggested Citation

  • Obara, Takashi, 2003. "Application of Langevin Equation in Econometrics to the Interaction between the Exchange Rates of Japan and South Korea," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(3).
    • Handle: RePEc:eaa:aeinde:v:3:y:2003:i:3_17
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    File URL: http://www.usc.es/economet/reviews/aeid335.pdf
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    Cited by:

    1. Obara, T., 2004. "Dynamics of Exchange Rate Fluctuations between Yen and the US-Dollar," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(1).

    More about this item

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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