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Type: Artigo
Title: Long-range dependence in interest rates and monetary policy?
Authors: Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: This Letter studies the dynamics of Brazilian interest rates for short-term maturities. The Letter 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.
Citation: CAJUEIRO, D ; TABAK, B . Long-range dependence in interest rates and monetary policy?. Physics Letters A, v. 372, p. 181-184, 2008.
Access Type: Acesso Aberto
Document date: 2008
Appears in Collections:PPG - Revistas e Artigos Científicos

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