Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/177837 
Year of Publication: 
2018
Series/Report no.: 
Economics Discussion Papers No. 2018-34
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
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.
Subjects: 
deterministic chaos
exchange rates
expectations
Lyapunov exponents
0-1 test
JEL: 
C12
C15
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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