Expectations and chaotic dynamics: Empirical evidence on exchange rates

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-Rodríguez et al. [Fernández-Rodríguez, F., Sosvilla-Rivero, S., Andrada-Félix, J., 2005. Testing chaotic dynamics via Lyapunov exponents. Jo...

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Bibliographic Details
Published in:Economics letters Vol. 99; no. 1; pp. 33 - 35
Main Authors: Resende, Marcelo, Zeidan, Rodrigo M.
Format: Journal Article
Language:English
Published: Elsevier B.V 01-04-2008
Elsevier
Series:Economics Letters
Subjects:
Chaos theory
Deterministic chaos
Exchange rates
Expectation
Expectations
Lyapunov exponent
Monetary economics
Monetary models
Expectations
F47
Exchange rates
F31
Deterministic chaos
Lyapunov exponent
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Summary:The paper investigates the dynamic behavior of exchange rates expectations using four different currencies. The test follows developments advanced by Fernández-Rodríguez et al. [Fernández-Rodríguez, 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.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2007.05.023