Journal Article
No. 2018-37 | June 18, 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 0−1 test strongly supports the chaos hypothesis.

Data Set

JEL Classification:

C12, C15

Assessment

  • Downloads: 406 (Discussion Paper: 275)

Links

Cite As

Jorge Belaire-Franch (2018). Exchange rates expectations and chaotic dynamics: a replication study. Economics: The Open-Access, Open-Assessment E-Journal, 12 (2018-37). http://dx.doi.org/10.5018/economics-ejournal.ja.2018-37


Comments and Questions