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Nonlinear Dynamics in Expectations: An Empirical Study

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  • Resende, Marcelo

Abstract

The paper investigates whether expectations data are consistent with nonlinear dynamics possibly involving deterministic chaos. Survey data on exchange rate expectations for four different currencies over one-week and one-month prediction horizons are considered. The evidence indicates that one cannot neglect the possibility of nonlinear dynamics underlying the erratic behaviour of expectation data, even though the evidence in that respect is not overwhelming. Copyright 2000 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

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  • Resende, Marcelo, 2000. "Nonlinear Dynamics in Expectations: An Empirical Study," Bulletin of Economic Research, Wiley Blackwell, vol. 52(2), pages 167-173, April.
    • Handle: RePEc:bla:buecrs:v:52:y:2000:i:2:p:167-73
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    Cited by:

    1. Resende, Marcelo & Zeidan, Rodrigo M., 2008. "Expectations and chaotic dynamics: Empirical evidence on exchange rates," Economics Letters, Elsevier, vol. 99(1), pages 33-35, April.

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