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International chaos

1988-10
Frank, Murray Z
Gencay, Ramazan
Stengos, Thanasis
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