Umeň Economic Studies, Department of Economics, Umeň University
A Positive Lyapunov Exponent in Swedish Exchange Rates?
Abstract: Can nominal exchange rates be characterized by
deterministic chaos? To answer this question, a statistical framework
utilizing a blockwise bootstrap procedure is used to test for the presence
of a positive Lyapunov exponent in an observed stochastic time series (Bask
and Gencay, 1998). Daily data for the Swedish Krona against the Deutsche
Mark, the ECU, the U.S. Dollar and the Yen exchange rates are examined. In
most cases, the null hypothesis that the exchange rate series is not
generated by a chaotic dynamical system can be rejected and these results
are consistent with the hypothesis that the exchange rate series may be
characterized by deterministic chaos.
Keywords: Deterministic chaos; Exchange rates; Lyapunov exponents; Moving blocks bootstrap; Phase space reconstruction; (follow links to similar papers)
JEL-Codes: C12; C14; F31; (follow links to similar papers)
20 pages, March 23, 2000
- This paper is published as:
Bask, Mikael, (2002), 'A Positive Lyapunov Exponent in Swedish Exchange Rates?', Chaos, Solitons and Fractals, Vol. 14, pages 1295-1304
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