Exchange rates expectations and chaotic dynamics: a replication study

In this paper the author analyzes the behavior of exchange rates expectations for four currencies, by considering a re-calculation and an extension of Resende and Zeidan (Expectations and chaotic dynamics: empirical evidence on exchange rates, Economics Letters, 2008). Considering Lyapunov exponent-based tests results, they are not sup-portive of chaos in exchange rates expectations, although the so-called 0−1 test strongly supports the chaos hypothesis.

本文针对四种货币的汇率预期行为展开分析，研究过程中对Resende与Zeidan于2008年发表在《经济学快报》（Economics Letters）的论文《预期与混沌动力学：汇率的经验证据》（Expectations and chaotic dynamics: empirical evidence on exchange rates）进行了重算与拓展。基于李雅普诺夫指数（Lyapunov exponent）的检验结果显示，其并不支持汇率预期中存在混沌现象，但所谓的0−1检验则强烈支持混沌假说。