Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 453: Deterministic Chaos in Exchange Rates?

Mikael Bask ()
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Mikael Bask: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

Abstract: Can nominal exchange rates be characterised by deterministic chaos? To answer this question, a statistical framework utilising blockwise bootstrap was used to test for the presence of a positive Lyapunov exponent in a time series. In most cases, the null hypothesis of a non-positive Lyapunov exponent characterising the time series was rejected.

Keywords: Deterministic chaos; Dynamical systems; Exchange rates; Moving blocks bootstrap.

JEL-codes: F31

12 pages, December 15, 1997

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