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Forma, Vol. 28 (No. 1), pp. 21-24, 2013

Forum

Non-equilibrium in Foreign Currency Exchange Determination

Hiroki Takada

Graduate School of Engineering, University of Fukui, Fukui 910-8507, Japan
E-mail address: takada@u-fukui.ac.jp

(Received December 27, 2013; Accepted December 31, 2013)

Abstract. It is humanly possible to accomplish even what economic prediction proves wrong. We carried out empirical studies employing fractal analysis and statistical tests to address the problem of finding the number of variables describing the monthly JPY/USD exchange rate. Principal component analysis extracts essential variables in economic fundamentals. We herein examine whether the foreign currency exchange determination can be described by a non-equilibrium system relating to the complex economic structure of both countries, and to its change.

Keywords: Exchange Rate, Correlation Dimension, Multiple Regression, Principal Component (PC), Nonequilibrium


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