Exchange rate dynamics, central bank interventions and chaos control methods

Frank Westerhoff () and Cristian Wieland
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Cristian Wieland: University of Osnabrueck, Department of Economics

Modeling, Computing, and Mastering Complexity 2003 from Society for Computational Economics

Abstract: We use a simple chartist-fundamentalist model developed by Day and Huang to explore recent chaos control algorithms as potential candidates for central bank intervention rules. We find that methods such as delayed feedback control, OGY and constant feedback have, in principle, the potential to reduce exchange rate variability and deviations from fundamentals even in the presence of large dynamic noise.

Keywords: exchange rate dynamics; central bank interventions; chaos control; technical and fundamental trading rules (search for similar items in EconPapers)
JEL-codes: F31 E58 G18 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-fin, nep-ifn, nep-mon and nep-rmg
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Journal Article: Exchange rate dynamics, central bank interventions and chaos control methods (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:sce:cplx03:22

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