**Commenced**in January 2007

**Frequency:**Monthly

**Edition:**International

**Paper Count:**32912

##### Chaotic Behavior in Monetary Systems: Comparison among Different Types of Taylor Rule

**Authors:**
Reza Moosavi Mohseni,
Wenjun Zhang,
Jiling Cao

**Abstract:**

**Keywords:**
Chaos theory,
GMM estimator,
Lyapunov Exponent,
Monetary System,
Taylor Rule.

**Digital Object Identifier (DOI):**
doi.org/10.5281/zenodo.1107858

**References:**

[1] Banks, J., V. Dragan and A. Jones, Chaos: A Mathematical Introduction. Cambridge University Press, Cambridge, 2003.

[2] Barkoulas, John T., “Testing for Deterministic Monetary Chaos: Metric and Topological Diagnostics”, Chaos Solutions and Fractals, vol. 38, 2008, pp.1013-1024.

[3] Benhabib, Jess, S. Schmitt-Grohe and Martin Uribe, “Chaotic Interest Rate Rules”, The American Economic Review, vol. 92, no.2, 2002, pp. 72-78.

[4] Bensaïda, Ahmed, “Noisy Chaos in Intraday Financial Data: Evidence from the American Index”, Applied Mathematics and Computation, vol. 226, 2014, pp. 258-265.

[5] Bensaïda, Ahmed, and Houda Litimi, “High Level Chaos in the Exchange and Index Markets”, Chaos, Solitons & Fractals, vol. 54, 2013, pp. 90-95.

[6] Clarida, Richard. Jordi Gali and Mark Gertler,” Optimal Monetary Policy in Open versus Closed Economies: An Integrated Approach”, American Economic Review, vol. 91, no. 2, 2001, pp. 248-252.

[7] Clarida, Richard. Jordi Gali and Mark Gertler, “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory”, the Quarterly Journal of Economics, vol. 115, no. 1, 2000, pp. 147-180.

[8] Clarida, Richard. Jordi Gali and Mark Gertler, “Monetary Policy Rule in Practice: Some International Evidence”, European Economic Review, vol. 42, 1998, pp. 1033-1067.

[9] DeCoster, G. P. and D. W. Mitchwell, “Dynamic Implications of Chaotic Monetary Policy”, Journal of Macroeconomics, vol. 14, no. 2, 1992, pp. 267-87.

[10] DeCoster, G. P. and D. W. Mitchwell, “Nonlinear Monetary Dynamics”, Journal of Business and Economic Statistics, vol. 9, no. 4, 1991, pp.455- 461.

[11] Devany, R. L., A First course in Chaotic Dynamical System: Theory and Experiment, Addison-Wesely, Menlo Park California, 1992.

[12] Devany, R. L., An Introduction to Chaotic Dynamical System, 2nd edition, Addison-Wesely. Menlo Park California, 1989.

[13] Lynch, Stephen, Dynamical System with Application using MATLAB, 2nd edition, Birkhäuser, 2014.

[14] May, Robert M., “Simple Mathematical Models with very Complicated Dynamics”, Nature, vol. 261, 1976, pp. 459-67.

[15] Moosavi Mohseni, Reza and Adem Kilicman, “Hopf Bifurcation in an Open Monetary Economic System: Taylor versus Inflation Targeting Rule”, Chaos, Solitons & Fractals, vol. 61, 2014, pp. 8-12.

[16] Moosavi Mohseni, Reza and Adam Kilicman, Bifurcation in an Open Economic System: Finding Chaos in Monetary Policy Rules, International Conference on Mathematical Science and Statistics, 5-7 February, 2013, Kuala Lumpur, Malaysia.

[17] Muth, John F., Rational Expectations and the Theory of Price Movements, Econometrica, vol. 29, no. 3, 1961, pp. 315-335.

[18] Park, Joon Y. and Yoon Jae Whang, “Random Walk or Chaos: A Formal test on the Lyapunov Exponent”, Journal of Econometrics, vol. 169, 2012, pp. 61-74.

[19] Ruelle, David, and Floris Takens, “On the Nature of Turbulence”, Communications in Mathematical Physics, vol. 20, 1971, pp. 167-92.

[20] Smale, S., “A Survey of some Recent Developments in Differential Topology”, Bulletin of the American Mathematical Society, vol. 73, 1963, pp. 747-817.

[21] Smale, S., “Differentiable Dynamical Systems”, Bulletin of the American Mathematical Society, vol. 73, 1967, pp. 747-817.

[22] Taylor, John B., “Discretion versus Policy Rule in Practice”, Carnegie- Rochester Conference Series on Public Policy, vol. 39, 1993, pp. 195- 214.

[23] Turnovsky, Stephen J., Methods of Macroeconomic Dynamics, 2nd Edition, Cambridge. Massachusetts: The MIT Press, 2000.

[24] Vald, Sorin, “Investigation of Chaotic Behavior in Euro-Leu Exchange Rate”, Journal of Computer Science and Mathematics, vol. 8, no. 4, 2010, pp. 67-71.

[25] Yousefpoor, P., M. S. Esfahani and H. Nojumi, “Looking for Systematic Approach to Select Chaos Tests”, Applied Mathematics and Computation, vol. 198, 2008, pp. 73-91.

[26] Zivot, Eric, and Donald W. K. Andrews, “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis”, Journal of Business & Economic Statistics, vol. 10, no. 3, 1992, pp. 251-70.