Abstract
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.
Highlights
Resende and Zeidan (2008) test for deterministic chaos in exchange rates expectations for four currencies, by means of Fernandez-Rodrıguez et al (2005) test, F SA hereafer
Given a time series of length T, {yt}Tt=1, F SA suggest the estimation of the dominant Lyapunov exponent, λ, to be the bootstrap aggregation, or bagging, of 100 block bootstrap samples of the largest Lyapunov exponents
Tests statistics are computed for each frequency, the cut-off value is set to ncut = 17, as suggested by Gottwald and Melbourne (2009)
Summary
Resende and Zeidan (2008) test for deterministic chaos in exchange rates expectations for four currencies, by means of Fernandez-Rodrıguez et al (2005) test, F SA hereafer.
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