Nonlinear Dynamics in Expectations: An Empirical Study
Posted: 20 Oct 2000
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: Suggested Citation