Abstract :
In this paper, a statistical framework utilizing a blockwise bootstrap procedure is used to test for the presence of a positive Lyapunov exponent in Swedish exchange rates [M. Bask, R. Gençay, Physica D 114 (1998) 1]. This is done since a necessary condition for chaotic dynamics is a positive Lyapunov exponent. Daily data for the Swedish Krona against the Deutsche Mark, the ECU, the US Dollar and the Yen exchange rates are examined. In most cases, the null hypothesis that the Lyapunov exponent is zero is rejected in favor of a positive exponent.
