International chaos?

Murray Frank, Ramazan Gencay, Thanasis Stengos

Research output: Contribution to journalArticlepeer-review

48 Scopus citations

Abstract

Tests are conducted on quarterly macroeconomic data for Italy, Japan, the United Kingdom and West Germany to check for the presence of deterministic chaos. Deterministic chaos is rejected using a number of fairly recently developed empirical tools. In the process we found surprisingly strong evidence of nonlinearities in the case of Japan. The evidence indicates that Japan is also the most stable of the countries studied. A satisfactory modelling of Japanese data will need to allow for suitable nonlinearity.

Original languageEnglish (US)
Pages (from-to)1569-1584
Number of pages16
JournalEuropean Economic Review
Volume32
Issue number8
DOIs
StatePublished - Oct 1988

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