0000000000193260

AUTHOR

Lorena Tordera-lledo

showing 2 related works from this author

Assessing Non-Linear Structures in Real Exchange Rates Using Recurrence Plot Strategies

2002

jel:C19jel:F31Non-linearity; chaos; recurrence analysis
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Assessing nonlinear structures in real exchange rates using recurrence plot strategies

2002

Purchasing power parity (PPP) is an important theory at the basis of a large number of economic models. However, the implication derived from the theory that real exchange rates must follow stationary processes is not conclusively supported by empirical studies. In a recent paper, Serletis and Gogas [Appl. Finance Econ. 10 (2000) 615] show evidence of deterministic chaos in several OECD exchange rates. As a consequence, PPP rejections could be spurious. In this work, we follow a two-stage testing procedure to test for nonlinearities and chaos in real exchange rates, using a new set of techniques designed by Webber and Zbilut [J. Appl. Physiol. 76 (1994) 965], called recurrence quantificatio…

Nonlinear systemPurchasing power parityRecurrence quantification analysisEconometricsStatistical and Nonlinear PhysicsEconomic modelCondensed Matter PhysicsSpurious relationshipRecurrence plotMathematical economicsMathematicsPhysica D: Nonlinear Phenomena
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