dorsal/arxiv
View SchemaLong-range dependence in Interest Rates and Monetary Policy
| Authors | Daniel O. Cajueiro, Benjamin M. Tabak |
|---|---|
| Categories | |
| ArXiv ID | physics/0607245 |
| URL | https://arxiv.org/abs/physics/0607245 |
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.
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"abstract": "This paper studies the dynamics of Brazilian interest rates for short-term\nmaturities. The paper employs developed techniques in the econophysics\nliterature and tests for long-range dependence in the term structure of these\ninterest rates for the last decade. Empirical results suggest that the degree\nof long-range dependence has changed over time due to changes in monetary\npolicy, specially in the short-end of the term structure of interest rates.\nTherefore, we show that it is possible to identify monetary arrangements using\nthese techniques from econophysics.",
"arxiv_id": "physics/0607245",
"authors": [
"Daniel O. Cajueiro",
"Benjamin M. Tabak"
],
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"physics.data-an",
"q-fin.ST"
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"title": "Long-range dependence in Interest Rates and Monetary Policy",
"url": "https://arxiv.org/abs/physics/0607245"
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