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Exchange rates expectations and chaotic dynamics: A replication study*

* This paper is a replication of an original study

Author

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  • Belaire-Franch, Jorge

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.

Suggested Citation

  • Belaire-Franch, Jorge, 2018. "Exchange rates expectations and chaotic dynamics: A replication study," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-9.
    • Handle: RePEc:zbw:ifweej:201837
    DOI: 10.5018/economics-ejournal.ja.2018-37
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    References listed on IDEAS

    as
    1. Shintani, Mototsugu & Linton, Oliver, 2004. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May.
    2. Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930.
    3. 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.
    Full references (including those not matched with items on IDEAS)

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    Replication

    This item is a replication of:
  • 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.

    • More about this item

    Keywords

    deterministic chaos; exchange rates; expectations; Lyapunov exponents; 0-1 test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Exchange rates expectations and chaotic dynamics: a replication study (Economics e-journal 2018) in ReplicationWiki

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