Discussion Paper

No. 2018-34 | April 19, 2018
Exchange rates expectations and chaotic dynamics: a 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 01 test strongly supports the chaos hypothesis.

Data Set

JEL Classification:

C12, C15

Assessment

  • Downloads: 258

Links

Cite As

Jorge Belaire-Franch (2018). Exchange rates expectations and chaotic dynamics: a replication study. Economics Discussion Papers, No 2018-34, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2018-34


Comments and Questions


Anonymous - Referee report
April 19, 2018 - 10:56

see attached file


JORGE BELAIRE-FRANCH - Reply to Referee
April 25, 2018 - 10:52

Reply to Referee's comments in the attached file.