The Study On The Fluctuation Of Exchange Rate Based On Chaos Analysis

Many industrial countries adopt floating rate regime after the collapse of the Bretton Woods system, and exchange rate behavior has more and more nonlinear features. The traditional exchange rate theories can not explain the real fluctuation of exchange rate very well. Chaos theory of exchange rate becomes a new direction to study the fluctuation of exchange rate. Chaotic model of exchange rate is a tremendous progress, for they can explain the nonlinear fluctuation of exchange rate more successful than the traditional exchange rate theories. The thesis studies the chaotic features of five exchange rates with a series of methods of chaos analysis, and also studies the chaotic model of exchange rate.The first chapter reviews the features of exchange rate, comments on the traditional exchange rate theories, and points out their limitation. Based on linear model, the traditional exchange rate theories can not explain the nonlinear features of exchange rate very successfully, because the real fluctuation of exchange rate is very complicated. And then this chapter introduces the chaos theory briefly, including the definition of chaos, methods of chaos analysis like Lyapunov exponent and correlation dimension, state space reconstruction technique and something about the analysis of chaotic time series.The second chapter uses a series of methods of chaos analysis to study the behaviors of five exchange rates including CNY/USD, EUR/USD, CHF/USD, YEN/USD, and MXN/USD. First, this chapter calculates five exchange rates' correlation dimensions and the largest Lyapunov exponents, and then comes to a conclusion that each of five exchange rates is a chaotic system. Second, this chapter adopts weighted zero-order local-region method to forecast short-term exchange rate, the results show that the prediction has high predicting precision.The third chapter introduces chaotic model of exchange rate and simulates the behavior of exchange rate using chaotic model of exchange rate, and unit root tests of the numerical simulation results demonstrate chaotic model of exchange rate's behavior has the same features as the real exchange rate's.At last, the thesis outlooks chaos theory of exchange rate in the future.