Artikel
Exchange rates expectations and chaotic dynamics: A replication study
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 12 ; Year: 2018 ; Issue: 2018-37 ; Pages: 1-9 ; Kiel: Kiel Institute for the World Economy (IfW)
- Classification
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Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
- Subject
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deterministic chaos
exchange rates
expectations
Lyapunov exponents
0-1 test
- Event
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Geistige Schöpfung
- (who)
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Belaire-Franch, Jorge
- Event
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Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
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Kiel
- (when)
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2018
- DOI
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doi:10.5018/economics-ejournal.ja.2018-37
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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Object type
- Artikel
Associated
- Belaire-Franch, Jorge
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2018
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