Application of Langevin Equation in Econometrics to the Interaction between the Exchange Rates of Japan and South Korea

Takashi Obara ()

Applied Econometrics and International Development, 2003, vol. 3, issue 3

Abstract: This articles presents and application of statistical physics to economic relationships, based on the fluctuation-dissipation theorem and the anomalous fluctuation therorem, and the Langevin equation. In the framework of time series which follow the Langevin equation, the interaction of two time series can be treated. The application to the won-dollar and yen-dollar rates shows that the former fluctuates under the influence of the latter.

JEL-codes: C51 (search for similar items in EconPapers)
Date: 2003
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