Nonlinear Dynamics Analysis Of Exchange Rate Fluctuations

Under the globalization and financial unity, exchange rate fluctuations become more important to affect the movement and development of economy than before. So the determination and prediction of the exchange rate are crucial. The analysis and prediction appear to be more complicated because of some dynamic, complex and unpredictable characteristics exposed to global finance market. The generation, formation and evolution of exchange rate fluctuations have constituted complex system characteristic, and evident nonlinear system has formed between factors that were composed of the economic system and between the system factors and the environment. Therefore, it has already been the leading edge and hot spot of economics research with the nonlinear method to study internal regularity of exchange rate fluctuations.The first chapter is preface that includes backgrounds and significances of choosing the topic, status quo of nonlinear dynamics of economic area, goal and structure of the dissertation.The second chapter analyzes the fundamental characters of exchange rate fluctuations and reviews the present theories of the exchange rate determination. By pointing the limitation of the traditional theories, it is presented that the behavior of the exchange rate is more complicated than the description of the classical theories, so it is no use to construct linear models for the exchange rate with the nonlinear character only from the basic economic variables.The third chapter introduces the definition of chaos, looks back basic approach and principles of the chaotic time series analysis and clarifies the significance of the chaotic economy dynamics research.Exchange rate fluctuations of JPY, UK, LYE and RUP are empirically analyzed in the fourth chapter according to the method of the above-mentioned to the measurement and judgment of chaos characteristic. It shows that exchange rate fluctuations have chaotic attractor and the information structure of the foreign exchange market is nonlinear.The fifth chapter introduces the definition of fractal and basic approach and principles of the rescaled range analysis, makes a brief contrast between the fractal market hypothesis and efficient market hypothesis.The sixth chapter uses the method of R/S to study the fractal character of the foreign...