Purchasing power parity, nonlinearity and chaos

Apostolos Serletis and Periklis Gogas

Applied Financial Economics, 2000, vol. 10, issue 6, 615-622

Abstract: This study contrasts the (apparent) random walk behaviour of the real exchange rate to chaotic dynamics, using (US) dollar-based real exchange rates for 17 OECD countries (covering the period 1957:1-1995:4). Tests for deterministic noisy chaos are carried out using the Nychka, Ellner, Gallant and McCaffrey (1992) test for positivity of the maximum Lyapunov exponent. There is evidence of nonlinear chaotic dynamics in seven real exchange rate series, suggesting that real exchange rate movements might not be really random.

Date: 2000
References: View complete reference list from CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031000437962 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:10:y:2000:i:6:p:615-622

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/096031000437962

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().