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Chaotic features in Romanian transition economy as reflected onto the currency exchange rate

Author

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  • Scarlat, E.I.
  • Stan, Cristina
  • Cristescu, C.P.

Abstract

This work is focused on the study of the existence of elements of deterministic chaos in the exchange rate of Romanian national currency (ROL) with respect to the United States dollar (USD). The temporal evolution between 1 January 1990 and 30 June 2005 is related to the particular Romanian economic transition from a centralized economy toward an open system. While insulating the short run behaviour, we consider the correlation dimension, the positive largest Lyapunov exponent and the Hurst exponent as the most important pointers for chaotic dynamics. By taking into account the main events occurring in the political and economical environment, we split the nearly 16 years period in two intervals, that we classify as “passive transition” and “active transition”. Despite of several quantitative differences, we find evidence of chaotic dynamics in both of them. We also find arguments to state that Romania is close to reaching a functional market economy.

Suggested Citation

  • Scarlat, E.I. & Stan, Cristina & Cristescu, C.P., 2007. "Chaotic features in Romanian transition economy as reflected onto the currency exchange rate," Chaos, Solitons & Fractals, Elsevier, vol. 33(2), pages 396-404.
    • Handle: RePEc:eee:chsofr:v:33:y:2007:i:2:p:396-404
    DOI: 10.1016/j.chaos.2006.01.009
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    References listed on IDEAS

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    Cited by:

    1. Cristescu, Constantin P. & Stan, Cristina & Scarlat, Eugen I. & Minea, Teofil & Cristescu, Cristina M., 2012. "Parameter motivated mutual correlation analysis: Application to the study of currency exchange rates based on intermittency parameter and Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2623-2635.
    2. Ritesh Kumar Mishra & Sanjay Sehgal & N.R. Bhanumurthy, 2011. "A search for long‐range dependence and chaotic structure in Indian stock market," Review of Financial Economics, John Wiley & Sons, vol. 20(2), pages 96-104, May.
    3. Ayan Bhattacharya & Rudra Sensarma, 2013. "Non-linearities in Emerging Financial Markets: Evidence from India," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 165-175, July.
    4. Çoban, Gürsan & Büyüklü, Ali H., 2009. "Deterministic flow in phase space of exchange rates: Evidence of chaos in filtered series of Turkish Lira–Dollar daily growth rates," Chaos, Solitons & Fractals, Elsevier, vol. 42(2), pages 1062-1067.
    5. Anagnostidis, Panagiotis & Emmanouilides, Christos J., 2015. "Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 473-487.
    6. Cristescu, C.P. & Stan, C. & Scarlat, E.I., 2009. "The dynamics of exchange rate time series and the chaos game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(23), pages 4845-4855.

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