Use este identificador para citar ou linkar para este item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7394
Tipo: Artigo
Título: Long-range dependence in interest rates and monetary policy?
Autor(es): 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.
Citação: CAJUEIRO, D ; TABAK, B . Long-range dependence in interest rates and monetary policy?. Physics Letters A, v. 372, p. 181-184, 2008.
Tipo de Acesso: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/292
https://repositorio.ucb.br:9443/jspui/handle/123456789/7394
Data do documento: 2008
Aparece nas coleções:PPG - Revistas e Artigos Científicos

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