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Expectations and chaotic dynamics: Empirical evidence on exchange rates

  • Resende, Marcelo
  • Zeidan, Rodrigo M.

The paper investigates the dynamic behavior of exchange rates expectations using four different currencies. The test follows developments advanced by Fernández-Rodri­guez et al. [Fernández-Rodri­guez, F., Sosvilla-Rivero, S., Andrada-Félix, J., 2005. Testing chaotic dynamics via Lyapunov exponents. Journal of Applied Econometrics, 20, 911-930.]. The evidence, however, does not favor the presence of chaotic dynamics in exchange rate expectations.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4NS0KJH-7/1/d54a09ca286b9987098d8e133d677c99
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 1 (April)
Pages: 33-35

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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:33-35
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Testing Chaotic Dynamics via Lyapunov Exponents," Working Papers 2000-07, FEDEA.
  2. Resende, Marcelo, 2000. "Nonlinear Dynamics in Expectations: An Empirical Study," Bulletin of Economic Research, Wiley Blackwell, vol. 52(2), pages 167-73, April.
  3. Chappell, David, 1997. "Chaotic Behaviour in a Simple Model of Inflation," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(3), pages 235-43, June.
  4. Frank, Murray Z. & Stengos, Thanasis, 1988. "Some evidence concerning macroeconomic chaos," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 423-438.
  5. Sergio Da Silva, 2001. "Chaotic Exchange Rate Dynamics Redux," Open Economies Review, Springer, vol. 12(3), pages 281-304, July.
  6. Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, 09.
  7. Bajo-Rubio, Oscar & Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1992. "Chaotic behaviour in exchange-rate series : First results for the Peseta--U.S. dollar case," Economics Letters, Elsevier, vol. 39(2), pages 207-211, June.
  8. Paul Grauwe & Hans Dewachter, 1993. "A chaotic model of the exchange rate: The role of fundamentalists and chartists," Open Economies Review, Springer, vol. 4(4), pages 351-379, December.
  9. Swarna Dutt & Dipak Ghosh, 1997. "Are experts' expectations rational? A multicurrency analysis," Applied Economics, Taylor & Francis Journals, vol. 29(6), pages 803-812.
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