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Expectations and chaotic dynamics: Empirical evidence on exchange rates

Marcelo Resende () and Rodrigo Zeidan ()

Economics Letters, 2008, vol. 99, issue 1, 33-35

Abstract: The paper investigates the dynamic behavior of exchange rates expectations using four different currencies. The test follows developments advanced by Fernández-Rodri­guez et al. [Fernández-Rodri­guez, 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.

Date: 2008
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:33-35