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Book Cover
Author Grauwe, Paul de.

Title Exchange rate theory : chaotic models of foreign exchange markets / Paul De Grauwe, Hans Dewachter, and Mark Embrechts
Published Oxford, U.K. ; Cambridge, Mass. : Blackwell, 1993


Location Call no. Vol. Availability
 MELB  332.456 Gra/Ert  AVAILABLE
Description xvii, 273 pages : illustrations ; 24 cm
Contents 1. Introduction to Chaos Theory -- 2. Examples of Chaotic Systems -- 3. Fractals -- 4. What Is Chaos? -- 2. Exchange Rate Theories -- 2. "News" Model -- 3. Structural Models -- 4. Empirical Testing of Exchange Rate Models -- 5. Difficulties with the Rational Expectations News Model -- 3. Simple Chaotic Exchange Rate Model -- 2. Chaotic Model of the Exchange Rate -- 3. Models Used by Chartists -- 4. Experimental Results: Existence of Chaos -- 5. Empirical Results: an Example -- 6. Predictions and Information in a Chaotic World -- 7. On Short-term Predictability -- 8. Formal Tests for the Existence of Chaos -- 9. Additional Characteristics of Chaotic Solutions -- 10. Deterministic Chaos or Randomness? -- 11. Exchange Rate Inertia -- 4. Additional Analysis of Chaos in a Simple Exchange Rate Model -- 2. Is There Chaos in the Simple Exchange Rate Model? -- 3. Fractal Basin Boundaries -- 4. Analysis of the "Jellyfish" Attractor -- 5. Chaotic Exchange Rate Model with Money -- 2. Model -- 3. Simulation Results: Existence of Chaos -- 4. Model Under a Regime of Interest-rate Smoothing -- 5. Additional Features of the Model with Interest-rate Smoothing -- 6. Some Empirical Tests of the Model -- 7. Chaos Model with "News" -- 6. Empirical Methods for Detecting and Describing Chaos -- 2. Reconstruction of a Strange Attractor in Phase Space -- 3. Estimating the Fractal Dimension of a Phase Space Reconstruction -- 4. On the Intrinsic Limits for Dimension Calculations -- 5. Rescaled Range Analysis or R/S Analysis -- 7. On Detecting Chaos in Exchange Rate Data -- 2. Empirical Analysis of Exchange Rates -- 3. Further Empirical Analysis of Exchange Rate Fluctuations -- 8. Evidence of Nonlinearities in Foreign Exchange Rates -- 2. Returns and Nonlinearity -- 3. Non-parametric Nonlinearity Tests -- 4. Evidence of Nonlinearities in Foreign Exchange Rates -- 9. Conclusion
Summary "Exchange Rate Theory presents a novel and elegant theory to explain the excessive variability of foreign exchange rate returns. The theory is novel in the sense that it focuses on interaction between market agents as the primary source of the variability in those speculative prices. It is shown that simple interactions between market participants using different information is sufficient to generate deterministic chaos." "In the first part of this book the authors survey existing exchange rate theories and ask whether these theories are useful in explaining actual exchange rate movements. They demonstrate that the 1970s were characterized by the belief that exchange rates could be understood by an analysis of the fundamentals (inflation rates, interest rates and monetary policy). Subsequently, this belief has all but disappeared but researchers have been content to analyze the statistical properties of exchange rates, abandoning the theory and the models." "The second part of the book uses chaos theory to construct an innovative framework for the understanding of exchange markets. These models, which integrate fundamentalism and chartism, create complex exchange rate movements which appear to be random. These models are used to explain several of the anomalies observed in exchange rate markets and to evaluate the possibility of exchange rate prediction."--BOOK JACKET
Analysis Foreign exchange
Bibliography Includes bibliographical references (pages [258]-265) and index
Subject Chaotic behavior in systems.
Foreign exchange rates -- Econometric models.
Author Dewachter, Hans.
Embrechts, Marc.
LC no. 92025472
ISBN 0631180168 (acid-free paper)