Long-range dependence in Interest Rates and Monetary Policy
Data Analysis, Statistics and Probability
2008-12-02 v1 Statistical Finance
Abstract
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates for the last decade. Empirical results suggest that the degree of long-range dependence has changed over time due to changes in monetary policy, specially in the short-end of the term structure of interest rates. Therefore, we show that it is possible to identify monetary arrangements using these techniques from econophysics.
Cite
@article{arxiv.physics/0607245,
title = {Long-range dependence in Interest Rates and Monetary Policy},
author = {Daniel O. Cajueiro and Benjamin M. Tabak},
journal= {arXiv preprint arXiv:physics/0607245},
year = {2008}
}