Discussion Paper
No. 2018-34 |
April 19, 2018
Exchange rates expectations and chaotic dynamics: a replication study
(Published in Replication Study)
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.
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