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Exchange rate instability: some empirical tests of temporal dynamics

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  • Jati Sengupta
  • Raymond Sfeir

Abstract

Volatility in real exchange rates is empirically estimated here over monthly data for the period February 1988 through August 1995. Tests show the persistence of an oscillatory behaviour, where random walk prevails. Chaotic instability also cannot be ruled out in general.

Suggested Citation

  • Jati Sengupta & Raymond Sfeir, 1997. "Exchange rate instability: some empirical tests of temporal dynamics," Applied Economics Letters, Taylor & Francis Journals, vol. 4(9), pages 547-550.
    • Handle: RePEc:taf:apeclt:v:4:y:1997:i:9:p:547-550
    DOI: 10.1080/135048597354998
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    References listed on IDEAS

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    1. Branson, William H. & Halttunen, Hannu & Masson, Paul, 1979. "Exchange rates in the short run : Some further results," European Economic Review, Elsevier, vol. 12(4), pages 395-402, October.
    2. Hsieh, David A, 1991. "Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-1877, December.
    3. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    4. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, University Library of Munich, Germany.
    5. Courakis, Anthony S, 1988. "Modelling Portfolio Selection," Economic Journal, Royal Economic Society, vol. 98(392), pages 619-642, September.
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