Long-range dependence in Interest Rates and Monetary Policy

Daniel O. Cajueiro and Benjamin Miranda Tabak ()

Quantitative Finance Papers from arXiv.org

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.

Date: 2006-07

Downloads: (external link)
http://arxiv.org/abs/physics/0607245 Abstract (text/html)
http://arxiv.org/pdf/physics/0607245 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:physics/0607245

Access Statistics for this paper

More papers in Quantitative Finance Papers from arXiv.org
Series data maintained by arXiv administrators ().