Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099159 | Journal of Economic Dynamics and Control | 2012 | 12 Pages |
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 in our model is rejected.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Daniela Federici, Giancarlo Gandolfo,