Estimating the fractional order of integration of yields inthe Brazilian fixed income market
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UCB |
Texto Completo: | http://hdl.handle.net/123456789/233 https://repositorio.ucb.br:9443/jspui/handle/123456789/7482 |
Resumo: | This 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. |
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Tabak, Benjamin Miranda2016-10-10T03:51:39Z2016-10-10T03:51:39Z2007-11Tabak, 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.http://hdl.handle.net/123456789/233https://repositorio.ucb.br:9443/jspui/handle/123456789/7482This 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.Made available in DSpace on 2016-10-10T03:51:39Z (GMT). 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dc.title.pt_BR.fl_str_mv |
Estimating the fractional order of integration of yields inthe Brazilian fixed income market |
title |
Estimating the fractional order of integration of yields inthe Brazilian fixed income market |
spellingShingle |
Estimating the fractional order of integration of yields inthe Brazilian fixed income market Tabak, Benjamin Miranda |
title_short |
Estimating the fractional order of integration of yields inthe Brazilian fixed income market |
title_full |
Estimating the fractional order of integration of yields inthe Brazilian fixed income market |
title_fullStr |
Estimating the fractional order of integration of yields inthe Brazilian fixed income market |
title_full_unstemmed |
Estimating the fractional order of integration of yields inthe Brazilian fixed income market |
title_sort |
Estimating the fractional order of integration of yields inthe Brazilian fixed income market |
author |
Tabak, Benjamin Miranda |
author_facet |
Tabak, Benjamin Miranda |
author_role |
author |
dc.contributor.author.fl_str_mv |
Tabak, Benjamin Miranda |
dc.description.abstract.por.fl_txt_mv |
This 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. |
dc.description.version.pt_BR.fl_txt_mv |
Sim |
dc.description.status.pt_BR.fl_txt_mv |
Publicado |
description |
This 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. |
publishDate |
2007 |
dc.date.issued.fl_str_mv |
2007-11 |
dc.date.accessioned.fl_str_mv |
2016-10-10T03:51:39Z |
dc.date.available.fl_str_mv |
2016-10-10T03:51:39Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
status_str |
publishedVersion |
format |
article |
dc.identifier.citation.fl_str_mv |
Tabak, 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. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/123456789/233 https://repositorio.ucb.br:9443/jspui/handle/123456789/7482 |
identifier_str_mv |
Tabak, 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. |
url |
http://hdl.handle.net/123456789/233 https://repositorio.ucb.br:9443/jspui/handle/123456789/7482 |
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eng |
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eng |
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