{
  "annotation_id": "481c8781-d692-4dfa-ba1e-5ba97a619b1b",
  "date_created": "2026-03-02T18:01:10.254000Z",
  "date_modified": "2026-03-02T18:01:10.254000Z",
  "file_hash": "3a3c1b7014ed7b4358b0d9a164c94623cca267ec8f585188981b0c72e678603d",
  "private": false,
  "record": {
    "abstract": "This paper presents empirical evidence using recently developed techniques in\neconophysics suggesting that the degree of long-range dependence in interest\nrates depends on the conduct of monetary policy. We study the term structure of\ninterest rates for the US and find evidence that global Hurst exponents change\ndramatically according to Chairman Tenure in the Federal Reserve Board and also\nwith changes in the conduct of monetary policy. In the period from 1960\u0027s until\nthe monetarist experiment in the beginning of the 1980\u0027s interest rates had a\nsignificant long-range dependence behavior. However, in the recent period, in\nthe second part of the Volcker tenure and in the Greenspan tenure, interest\nrates do not present long-range dependence behavior. These empirical findings\ncast some light on the origins of long-range dependence behavior in financial\nassets.",
    "arxiv_id": "physics/0607246",
    "authors": [
      "Daniel O. Cajueiro",
      "Benjamin M. Tabak"
    ],
    "categories": [
      "physics.data-an",
      "q-fin.ST"
    ],
    "title": "Econophysics of interest rates and the role of monetary policy",
    "url": "https://arxiv.org/abs/physics/0607246"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "a590ec06-c350-4765-922b-2d097420c35a",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}