Chaotic features in Romanian transition economy as reflected onto the currency exchange rate

This work is focused on the study of the existence of elements of deterministic chaos in the exchange rate of Romanian national currency (ROL) with respect to the United States dollar (USD). The temporal evolution between 1 January 1990 and 30 June 2005 is related to the particular Romanian economic transition from a centralized economy toward an open system. While insulating the short run behaviour, we consider the correlation dimension, the positive largest Lyapunov exponent and the Hurst exponent as the most important pointers for chaotic dynamics. By taking into account the main events occurring in the political and economical environment, we split the nearly 16 years period in two intervals, that we classify as “passive transition” and “active transition”. Despite of several quantitative differences, we find evidence of chaotic dynamics in both of them. We also find arguments to state that Romania is close to reaching a functional market economy.