The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?

Daniela Federici and Giancarlo Gandolfo

DEGIT Conference Papers from DEGIT, Dynamics, Economic Growth, and International Trade

Abstract: The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents' beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential equation, which is in principle capable of generating chaos. The model is econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our results indicate that the possibility of chaotic dynamics has to be rejected.

Keywords: Exchange rate; chaos; jerk equation; continuous time econometrics (search for similar items in EconPapers)
JEL-codes: C49 C61 F31 F37 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2011-09
New Economics Papers: this item is included in nep-eec and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:deg:conpap:c016_035

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