Long-range dependence in Interest Rates and Monetary Policy

Daniel Cajueiro and Benjamin Tabak

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

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