Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7482
Full metadata record
DC FieldValueLanguage
dc.contributor.authorTabak, Benjamin Miranda
dc.date.accessioned2016-10-10T03:51:39Z-
dc.date.available2016-10-10T03:51:39Z-
dc.date.issued2007-11
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.identifier.urihttp://hdl.handle.net/123456789/233
dc.identifier.urihttps://repositorio.ucb.br:9443/jspui/handle/123456789/7482-
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
dc.description.provenanceMade available in DSpace on 2016-10-10T03:51:39Z (GMT). No. of bitstreams: 5 Estimating the Fractional Order of Integration of yields in the Brazilian Fixed Income Market.pdf: 202743 bytes, checksum: f3a08fa241a9882ba993d24cc17c9f7c (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: c200d7a52028dd255d79d7c917cc149a (MD5) license_rdf: 23005 bytes, checksum: 845fd6e03839c7264c0c164178b2e173 (MD5) license.txt: 1818 bytes, checksum: 46de3043f08e87659ae535ef74b8ce9d (MD5) Previous issue date: 2007-11en
dc.formatTextopt_BR
dc.language.isoen_USpt_BR
dc.rightsAcesso Abertopt_BR
dc.titleEstimating the fractional order of integration of yields inthe Brazilian fixed income marketpt_BR
dc.typeArtigopt_BR
dc.description.versionSimpt_BR
dc.description.statusPublicadopt_BR
dc.journalEconomic Notespt_BR
Appears in Collections:PPG - Revistas e Artigos Científicos



This item is licensed under a Creative Commons License Creative Commons