Expectations and chaotic dynamics: Empirical evidence on exchange rates

Exchange rates expectations and chaotic dynamics: a replication study

“…On page 34 Resende and Zeidan's (2008) Table 1 displays the coefficient and the correspondig p-value. We assume that "coefficient" meansα 1 for each currency.…”

“…Thus, they compute some critical values for just two sample sizes: 380 and 2000 observations, by combining the empirical distribution of the statistics from 250 replications of three of those processes: Logistic, Henon and Lorenz. In Resende and Zeidan (2008), the sample size is 167 observations, hence they should compute the new empirical distribution. Nevertheless, there is no mention to this issue neither to the mentioned procedure to compute the p-values.…”

“…The analyzed data, as in Resende and Zeidan (2008), correspond to New York Money Market Survey (NYMMS), regarding expected future exchange rates from 30 traders, at one week horizon, for the British pound (BP), the deutschemark (DM), the yen (JY) and the Swiss franc (SF). The data set comprises 168 observations for each currency.…”

“…Provided the evidence about unit roots, we compute first differences to render the data stationary. Next, Resende and Zeidan (2008) compute the residuals from fitted ARMA models for each first-differenced currency time series, to calculate FSA test on such residuals. 4 We compute the statistics directly on the residuals series for embedding dimension ranging from 2 to 6.…”

“…1 Introduction Resende and Zeidan (2008) test for deterministic chaos in exchange rates expectations for four currencies, by means of Fernández-Rodríguez et al (2005) test, FSA hereafer. Their work, however, presents some formal drawbacks.…”