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dc.contributor.authorTabak, Benjamin Miranda
dc.identifier.citationTabak, Benjamin M., Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market. Economic Notes, v. 36, n 3, p. 231-246, nov 2007.pt_BR
dc.description.abstractThis paper presents evidence that yields on the Brazilian fixed income market are fractionally integrated, and compares the period before and after the implementation of the Inflation Targeting (IT) regime. The paper employs the commonly used GPH estimator and recently developed wavelets-based estimator of long memory. Empirical results suggest that interest rates are fractionally integrated and that interest rate spreads are fractionally integrated, with a higher order of integration in the period after the implementation of the IT regime. These results have important implications for the development of macroeconomic models for the Brazilian economy and for long-term forecasting. Furthermore, they imply that shocks to interest rates are long-lived.pt_BR
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dc.rightsAcesso Abertopt_BR
dc.titleEstimating the fractional order of integration of yields inthe Brazilian fixed income marketpt_BR
dc.journalEconomic Notespt_BR
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