Expectations and chaotic dynamics: Empirical evidence on exchange rates
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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References listed on IDEAS
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- Resende, Marcelo, 2000. "Nonlinear Dynamics in Expectations: An Empirical Study," Bulletin of Economic Research, Wiley Blackwell, vol. 52(2), pages 167-173, April.
- 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 235-243, June.
- 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.
- Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, 09.
- Sergio Da Silva, 2001. "Chaotic Exchange Rate Dynamics Redux," Open Economies Review, Springer, vol. 12(3), pages 281-304, July.
- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated".
"Testing Chaotic Dynamics via Lyapunov Exponents,"
- 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.
- Swarna Dutt & Dipak Ghosh, 1997. "Are experts' expectations rational? A multicurrency analysis," Applied Economics, Taylor & Francis Journals, vol. 29(6), pages 803-812.
- Frank, Murray Z. & Stengos, Thanasis, 1988. "Some evidence concerning macroeconomic chaos," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 423-438.
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