A Positive Lyapunov Exponent in Swedish Exchange Rates?
Can nominal exchange rates be characterized by deterministic chaos? To answer this question, a statistical framework utilizing a blockwise bootstrap procedure is used to test for the presence of a positive Lyapunov exponent in an observed stochastic time series (Bask and Gencay, 1998). Daily data for the Swedish Krona against the Deutsche Mark, the ECU, the U.S. Dollar and the Yen exchange rates are examined. In most cases, the null hypothesis that the exchange rate series is not generated by a chaotic dynamical system can be rejected and these results are consistent with the hypothesis that the exchange rate series may be characterized by deterministic chaos.
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|Date of creation:||23 Mar 2000|
|Date of revision:|
|Publication status:||Published in Chaos, Solitons and Fractals, 2002, pages 1295-1304.|
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