Exchange rates expectations and chaotic dynamics: A replication study

Jorge Belaire-Franch

No 2018-34, Economics Discussion Papers from Kiel Institute for the World Economy

Abstract: In this paper the author analyzes the behavior of exchange rates expectations for four currencies, by considering a re-calculation and an extension of Resende and Zeidan (Expectations and chaotic dynamics: empirical evidence on exchange rates, Economics Letters, 2008). Considering Lyapunov exponent-based tests results, they are not supportive of chaos in exchange rates expectations, although the so-called 0-1 test strongly supports the chaos hypothesis.

Keywords: deterministic chaos; exchange rates; expectations; Lyapunov exponents; 0-1 test (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-mon
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http://www.economics-ejournal.org/economics/discussionpapers/2018-34
https://www.econstor.eu/bitstream/10419/177837/1/1019374268.pdf (application/pdf)

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Journal Article: Exchange rates expectations and chaotic dynamics: A replication study (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwedp:201834

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