The Dynamics of Philippine Foreign Exchange Rates (2013-2017): A Test for Chaos
Ma. Carlota B. Decena1, Kristine Nicole T. Francisco2, Mervinjohn M. Yatco3

1Ma. Carlota B. Decena, Department of Mathematics and Physics, College of Science, University of Santo Tomas, Manila, Philippines. Research Center for the Natural and Applied Sciences, University of Santo Tomas, Manila, Philippines.
2Kristine Nicole T. Francisco, Department of Mathematics and Physics, College of Science, University of Santo Tomas, Manila, Philippines.
3Mervinjohn M. Yatco, Department of Mathematics and Physics, College of Science, University of Santo Tomas, Manila, Philippines.

Manuscript received on 19 August 2019. | Revised Manuscript received on 12 September 2019. | Manuscript published on 30 September 2019. | PP: 486-489 | Volume-8 Issue-11, September 2019. | Retrieval Number: K14130981119/2019©BEIESP | DOI: 10.35940/ijiteeK1413.0981119
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)

Abstract: In most studies on dynamics of time series financial data, the absence of chaotic behavior is generally observed. However, this theory is not yet established in the dynamics of foreign exchange rates. Conflicting claims of presence and absence of chaos in foreign exchange rates open door for further investigation considering various deterministic factors. This work examines the dynamics of exchange rate of the Philippine Peso against selected foreign currencies. Time series data were collected for eight (8) of Philippine’s top trading partners as categorized according to economic condition. The data obtained with permission from the Central Bank of the Philippines covered the years 2013 to 2017. Data sets were plotted revealing non-linear movement of Philippine exchange rates against time. The foreign exchange rate time series obtained per currency were examined for chaotic behavior by computing the Largest Lyapunov Exponents (LLE). A positive Lyapunov exponent is an indication of sensitivity dependence, i.e, a chaotic dynamics; whereas, a negative Lyapunov exponent indicates otherwise. Computed LLE’s varied per currency but all were found to be negative. Therefore, using the Largest Lyapunov Exponent Test (LLE), analysis of the time series of Philippine foreign exchange rates shows little evidence of chaotic patterns.
Keywords: Chaos, Deterministic factors, Foreign exchange rate, Largest lyapunov exponent
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