Arbeitspapier
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
-
Englisch
- Bibliographic citation
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Series: Economics Discussion Papers ; No. 2018-34
- Classification
-
Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
- Subject
-
deterministic chaos
exchange rates
expectations
Lyapunov exponents
0-1 test
- Event
-
Geistige Schöpfung
- (who)
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Belaire-Franch, Jorge
- Event
-
Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2018
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Belaire-Franch, Jorge
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2018
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