Nonlinear Dependencies And Chaos In The Bilateral Exchange Rate Of The Dollar

Author:

Adrangi Bahram,Allender Mary Allender,Chatrath Arjun,Raffiee Kambiz

Abstract

Employing the daily bilateral exchange rate of the dollar against the Canadian dollar, the Swiss franc and the Japanese yen, we conduct a battery of tests for the presence of low-dimension chaos.  The three stationary series are subjected to Correlation Dimension tests, BDS tests, and tests for entropy. While we find strong evidence of nonlinear dependence in the data, the evidence is not consistent with chaos.  Our test results indicate that GARCH-type processes explain the nonlinearities in the data.  We also show that employing seasonally adjusted index series enhances the robustness of results via the existing tests for chaotic structure.

Publisher

Clute Institute

Subject

Marketing,Economics and Econometrics,General Materials Science,General Chemical Engineering

Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. More than 20 years of chaos in economics;Mind & Society;2015-01-30

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