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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- 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.
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