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Nonlinear Dynamics in Expectations: An Empirical Study
Author(s) -
Resende Marcelo
Publication year - 2000
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/1467-8586.00101
Subject(s) - nonlinear system , economics , econometrics , dynamics (music) , neglect , empirical evidence , exchange rate , psychology , macroeconomics , physics , philosophy , pedagogy , epistemology , quantum mechanics , psychiatry
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.