Journal of Contemporary Management Comparison of Recession During Through Chaotic Analysis of The Foreign Exchange Rates

Pritha Das
2008 unpublished
Chaotic processes are characterized by positive Lyapunov Exponent (LE)s as LE measures the rate at which information is lost from a system. We consider here the chaotic analysis of Foreign Exchange (ForEx) market data. Our previous works (2007, 2012) made nonlinear data analysis of the data during period before recession (up to 2005), and then investigated data from the same 12 countries for the periods of January 2008 to October 2009, to assess the effect of recession. In these works, we
more » ... ated the largest LE (LLE)s during recession and compared them with the LLE found before onset of recession. It was concluded that for a country, the more nonlinear structure its foreign exchange rate shows the higher LLE changes. Four years after the eruption of the global financial crisis, the world economy is still struggling to recover. During 2012, global economic growth has weakened further. In this context, this paper reinvestigates the daily ForEx market data again of the same twelve countries as well as European Union (EU) region for the period of Jan, 2009 to March, 2013. Here this paper finds that LLE values have increased over previous two years, implying that ForEx market may have become more chaotic. Also, LLE values are slowly approaching their pre-recession values which may be positive aspect for the ForEx market. Gross Domestic Product (GDP) growth rate of selected countries are also compared to address this finding. As before, the balance of trade (BoT) of these countries is investigated with the US. JEL Classifications: C65, C80, F31
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