Does Monetary Policy cause Randomness or Chaos? A Case Study from the European Central Bank
Download full text from publisher
References listed on IDEAS
- Baumol, William J & Benhabib, Jess, 1989.
"Chaos: Significance, Mechanism, and Economic Applications,"
Journal of Economic Perspectives,
American Economic Association, vol. 3(1), pages 77-105, Winter.
- Baumol, William J. & Benhabib, Jess, 1987. "Chaos: Significance, Mechanism, and Economic Applications," Working Papers 87-16, C.V. Starr Center for Applied Economics, New York University.
- Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
- Milton Friedman, 1961. "The Lag in Effect of Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 69, pages 447-447.
- Lo, Andrew W, 1991.
"Long-Term Memory in Stock Market Prices,"
Econometric Society, vol. 59(5), pages 1279-1313, September.
- Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
- Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Tom Doan, "undated". "RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)," Statistical Software Components RTS00191, Boston College Department of Economics.
- Howitt, Peter & Clower, Robert, 2000. "The emergence of economic organization," Journal of Economic Behavior & Organization, Elsevier, vol. 41(1), pages 55-84, January.
- Rohnn Sanderson, 2011. "Compartmentalising Gold Prices," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 4(2), pages 99-124, August.
- Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-1877, December.
More about this item
Keywordsdynamic systems; Hurst exponent; chaos; long-term memory; monetary policy;
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-17 (All new papers)
- NEP-CBA-2014-01-17 (Central Banking)
- NEP-EEC-2014-01-17 (European Economics)
- NEP-MAC-2014-01-17 (Macroeconomics)
- NEP-MON-2014-01-17 (Monetary Economics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:52537. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter) or (Rebekah McClure). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .