The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs

Federici, Daniela; Gandolfo, Giancarlo

doi:10.1016/j.jedc.2011.11.008

Cited by 18 publications

(8 citation statements)

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“…The BoP can be interpreted as a market-clearing condition for the FX market, since it contains all sources of supply and demand for foreign currency (Federici and Gandolfo, 2012). The positive elements constitute sources of supply (foreign import demand for domestic goods and net capital inflows), whereas the negative elements represent sources of demand for foreign currency (interest payments on foreign debt and domestic import demand).…”

Section: Investment Dynamicsmentioning

confidence: 99%

Exchange rate dynamics, balance sheet effects, and capital flows. A Minskyan model of emerging market boom-bust cycles

Köhler

2019

Structural Change and Economic Dynamics

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Section: Investment Dynamicsmentioning

confidence: 99%

Exchange rate dynamics, balance sheet effects, and capital flows. A Minskyan model of emerging market boom-bust cycles

Köhler

2019

Structural Change and Economic Dynamics

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“…This concerns the excess demand of non-speculators. To understand this point, a brief description of the model (see Federici and Gandolfo, 2012) is called for.…”

Section: A Non-linear Modelmentioning

confidence: 99%

“…The mathematics of the various excess demand functions is described in detail in Federici and Gandolfo (2012). By imposing the equilibrium condition in the foreign exchange rate, we arrive to a third-order non-linear differential equation, where the non-linearity is of the purely qualitative type described above.…”

Section: The Modelmentioning

confidence: 99%

Chaos in Economics

1998

The Handbook of Economic Methodology

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Chaos theory has generated a lot of excitement and important results in physics and some other fields. Can we say the same as regards economics? This paper briefly surveys the large body of literature on chaos in economics, about which much has been written. More specifically, the attention will be devoted to discuss the extent to which the techniques to approach chaos in economics can address market anomalies, complexity and chaotic phenomena. The various ways to detect chaotic behavior in economics can be well exemplified by considering exchange rates. We consider a continuous time exchange rate model that allows for heterogeneity of the agents' beliefs, in order to explore non-linearities and possible chaotic behavior since we believe that the correct approach is to try to find the dynamic model (if any) underlying the data. The model is econometrically estimated with Euro/Dollar data and examined for the possible presence of chaotic motion. The results indicate that the possibility of chaotic dynamics in our model is rejected.

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“…They include the productivity differential between Europe and the US (Corsetti and Pesenti, 1999, Alquist and Chinn, 2002, Schnatz et al, 2004, Miller 2008; the growth rate, inflation differentials, current account patterns (De Grauwe, 2000, De Grauwe andGrimaldi, 2005); interest rate differentials and relative rates of return in the US and euro area (Bailey et al, 2001, Heimonen, 2009. Others have focused on non-fundamental factors, such as order flows (Dunne et al 2010); different quoting activity of investors in response to announcements (Omrane and Heinen, 2009) and the existence of chaotic dynamics in the Euro-Dollar exchange rate when investors have heterogeneous beliefs (Federici and Gandolfo 2012).…”

Section: Introductionmentioning

confidence: 99%

Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model

Chen

MacDonald

2015

Journal of International Money and Finance

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R. (2015) 'Measuring the dollar euro permanent equilibrium exchange rate using the unobserved components model.', Journal of international money and nance., 53 . pp. 20-35. Further information on publisher's website:http://dx.doi.org/10.1016/j.jimon n.2014.12.008Publisher's copyright statement: NOTICE: this is the author's version of a work that was accepted for publication in Journal of International Money and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be re ected in this document. Changes may have been made to this work since it was submitted for publication. A de nitive version was subsequently published in Journal of International Money and Finance, 53, May 2015, 10.1016/j.jimon n.2014.12.008. Additional information:Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-pro t purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details.

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The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs

Cited by 18 publications

References 47 publications

Exchange rate dynamics, balance sheet effects, and capital flows. A Minskyan model of emerging market boom-bust cycles

Exchange rate dynamics, balance sheet effects, and capital flows. A Minskyan model of emerging market boom-bust cycles

Chaos in Economics

Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model

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