Vitaliy VANDROVYCH

Ph.D. candidate in International Economics and Finance

Brandeis University, International Business School

MS 032, PO BOX 9110

Waltham, MA 02454-9110 USA

Tel: 1-781-266-6544, e-mail: vivandr@brandeis.edu

                                                                                                                          

My research interests

 

 

Research papers and work in progress

 

Nonlinearities in Exchange-Rate Dynamics: Chaos?, November 2006    PDF file

(Early draft of the paper was titled: Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?, and was presented at

the 11th International Conference on Computing in Economics and Finance, Washington, DC, June 2005, and

14th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, St. Louis, March 2006)

Abstract: Deterministic chaotic systems represent an appealing new way to model an economy, especially financial markets. They allow the generation of interesting dynamics without exogenous shocks and are unpredictable in the long run. In this paper, I test the hypothesis of chaotic dynamics in exchange rates by applying tools from dynamical systems theory. I find that exchange rate returns are highly nonlinear even when a GARCH-type process is fitted to the data and this result is compatible with chaos. But the calculation of two other prerequisites of chaotic dynamics, namely the correlation dimension and the maximum Lyapunov exponent, rejects the hypothesis of chaos in the data. I emphasize the importance of the proper implementation of chaos tests, as in limited data sets there is a tendency for downward bias in estimates of correlation dimension and this might lead to an incorrect conclusion that chaos is present in the data. As pure chaotic dynamics is not observed in the data, I stress the significance of considering a dynamic noise element in theoretical chaotic asset pricing models.

 

Placement and Execution of Price Contingent Orders in the FX Market: A Customer Level Analysis (with Carol Osler, work in progress)

 

 

What Can We Learn From Agent Based Models of FX Market?   (work in progress)

 

 

Two-Corner Hypothesis for Exchange Rate Regimes and Its Relevance for Transition Economies, May 2003    PDF file

Abstract: In this paper, I investigate the theoretical and empirical background of the hypothesis that intermediate exchange rate regimes are no longer viable for countries open to international capital flows and only irrevocably fixed or pure floating regimes are possible. The empirical part of the paper focuses on the transition economies of Central and Eastern Europe and the former Soviet Union with the application of a Markov chain model for the determination of future exchange rate regimes in the region. Using official data I find support for the two-corner hypothesis, as it turns out that the fixed regime will dominate the landscape of exchange rate arrangements in the region. As actual exchange rate management frequently differs from the one that is officially proclaimed, I also use the ‘de facto’ classification. This classification assigns the country to one of the regimes according to the behavior of three variables, namely absolute monthly exchange rate changes, volatility of these changes and absolute monthly volatility in foreign exchange reserves. The limiting distribution of the regimes obtained by the “de facto” classification indicates that all three regimes will be present in the region, thus invalidating the two-corner hypothesis. Additionally, I show that almost all countries in the region classified as floaters in reality use some form of intermediate or even fixed regimes.

 

 

Policy Influence on Economic Growth in Transition Countries, 2002    PDF file  

(Published in "Visnyk of Lviv University, International Relations Series", #7, 2002)

 

 

Periodic Marginal Problem for Hyperbolic Equations of 2nd Order in Cylindrical Regions, May 1992

(Unpublished M.A. thesis, in Ukrainian. Presented at International Scientific Mathematical Conference, Kyiv, Ukraine)

 

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Last updated: 03/24/2007