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A Chaotic Monetary Model of the Exchange Rate

In: Open-Economy Macroeconomics

Author

Listed:
  • Paul Grauwe

    (Catholic University of Leuven)

  • Hans Dewachter

    (Catholic University of Leuven)

Abstract

Ever since the empirical breakdown of linear structural exchange rate models, the predominant view on exchange rate dynamics has been based on the ‘news’ model. In this model the only sources driving the exchange rate are random events, such as those explored by Frenkel and Mussa (1985), Levich (1985) and Mussa (1984).

Suggested Citation

  • Paul Grauwe & Hans Dewachter, 1993. "A Chaotic Monetary Model of the Exchange Rate," International Economic Association Series, in: Helmut Frisch & Andreas Wörgötter (ed.), Open-Economy Macroeconomics, chapter 19, pages 353-376, Palgrave Macmillan.
    • Handle: RePEc:pal:intecp:978-1-349-12884-6_19
    DOI: 10.1007/978-1-349-12884-6_19
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    Citations

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    Cited by:

    1. David Peel & Alan Speight, 1994. "Testing for non-linear dependence in inter-war exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(2), pages 391-417, June.
    2. Jeffrey A. Frankel & Andrew K. Rose, 1994. "A Survey of Empirical Research on Nominal Exchange Rates," NBER Working Papers 4865, National Bureau of Economic Research, Inc.
    3. repec:spo:wpecon:info:hdl:2441/5285 is not listed on IDEAS
    4. Frankel, Jeffrey, 1995. "How Well Do Foreign Exchange Markets Function: Might a Tobin Tax Help?," Center for International and Development Economics Research (CIDER) Working Papers 233420, University of California-Berkeley, Department of Economics.
    5. Daniela Federici & Giancarlo Gandolfo, 2011. "The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?," CESifo Working Paper Series 3420, CESifo.
    6. Daniela Federici & Giancarlo Gandolfo, 2001. "Chaos and the exchange rate," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 11(2), pages 111-142.
    7. repec:hal:wpspec:info:hdl:2441/5285 is not listed on IDEAS
    8. Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004. "How do UK-based foreign exchange dealers think their market operates?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 289-306.
    9. Jean-Pierre Allegret, 2007. "Quels régimes de change pour les marchés émergents ? Les solutions de coins en question," Post-Print halshs-00258333, HAL.
    10. Jean-Pierre Allegret, 2007. "Which Currency Exchange Regime for Emerging Markets? Corner Solutions under Question," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 54(4), pages 397-427, December.
    11. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
    12. Antoine Bouveret & Henri Sterdyniak, 2005. "Les modèles de taux de change. Équilibre de long terme, dynamique et hystérèse," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 243-286.
    13. Antoine Bouveret & Henri Sterdyniak, 2005. "Les modèles de taux de change," SciencePo Working papers Main hal-01071965, HAL.
    14. repec:hal:spmain:info:hdl:2441/5285 is not listed on IDEAS
    15. Federici, Daniela & Gandolfo, Giancarlo, 2012. "The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 670-681.

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