Nonlinear Dynamics in Expectations: An Empirical Study

Posted: 20 Oct 2000

See all articles by Marcelo Resende

Marcelo Resende

Universidade Federal do Rio de Janeiro (UFRJ); CESifo (Center for Economic Studies and Ifo Institute)

Abstract

The paper investigates whether expectations data are consistent with nonlinear dynamics possibly involving deterministic chaos. Survey data on exchange rate expectations for four different currencies over one-week and one-month prediction horizons are considered. The evidence indicates that one cannot neglect the possibility of nonlinear dynamics underlying the erratic behaviour of expectation data, even though the evidence in that respect is not overwhelming.

JEL Classification: F31

Suggested Citation

Resende, Marcelo, Nonlinear Dynamics in Expectations: An Empirical Study. Available at SSRN: https://ssrn.com/abstract=231660

Marcelo Resende (Contact Author)

Universidade Federal do Rio de Janeiro (UFRJ) ( email )

Rua Sao Francisco Xavier, 524
Instituto de Economia
Rio de Janeiro RJ 21949
Brazil

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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