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Convergencia y Estabilidad de los Tipos de Cambio Europeos: Una Aplicación de Exponentes de Lyapunov

  • Elena Olmedo
  • Ricardo Gimeno
  • Lorenzo Escot
  • Ruth Mateos

In this paper we applied the dynamic system theory to the measurement of the stability of the European process of convergence. In particular, Lyapunov’s exponents are used to verify the influence of political and economic decisions made during the creatio

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Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía-Latin American Journal of Economics.

Volume (Year): 44 (2007)
Issue (Month): 129 ()
Pages: 91-108

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Handle: RePEc:ioe:cuadec:v:44:y:2007:i:129:p:91-108
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  1. Dechert, W D & Gencay, R, 1992. "Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S41-60, Suppl. De.
  2. Oliver Linton & Mototsugu Shintani, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 455, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  3. Barnett, William A. & Ronald Gallant, A. & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1995. "Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size," Journal of Economic Behavior & Organization, Elsevier, vol. 27(2), pages 301-320, July.
  4. Mototsugu Shintani & Oliver Linton, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," Vanderbilt University Department of Economics Working Papers 0111, Vanderbilt University Department of Economics.
  5. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
  6. Bask, Mikael, 2000. "A Positive Lyapunov Exponent in Swedish Exchange Rates?," Umeå Economic Studies 528, Umeå University, Department of Economics.
  7. Abhyankar, A & Copeland, L S & Wong, W, 1997. "Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 1-14, January.
  8. Bask Mikael & de Luna Xavier, 2002. "Characterizing the Degree of Stability of Non-linear Dynamic Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-19, April.
  9. Chung-Ming Kuan, 2006. "Artificial Neural Networks," IEAS Working Paper : academic research 06-A010, Institute of Economics, Academia Sinica, Taipei, Taiwan.
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