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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/46414
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| Title: | | The Euro/Dollar exchange rate: Chaotic or non-chaotic?  |
| Authors: | | Federici, Daniela Gandolfo, Giancarlo |
| Issue Date: | | 2011 |
| Series/Report no.: | | CESifo working paper: Monetary Policy and International Finance 3420 |
| Abstract: | | The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents' beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential equation, which is in principle capable of generating chaos. The model is econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our results indicate that the possibility of chaotic dynamics has to be rejected. |
| Subjects: | | exchange rate chaos jerk equation continuous time econometrics |
| JEL: | | F31 F37 C49 C61 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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