Long-range dependence in interest rates and monetary policy?

Detalhes bibliográficos
Autor(a) principal: Cajueiro, Daniel Oliveira
Data de Publicação: 2008
Outros Autores: Tabak, Benjamin Miranda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/292
https://repositorio.ucb.br:9443/jspui/handle/123456789/7394
Resumo: 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.
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spelling Cajueiro, Daniel OliveiraTabak, Benjamin Miranda2016-10-10T03:51:20Z2016-10-10T03:51:20Z2008CAJUEIRO, D ; TABAK, B . Long-range dependence in interest rates and monetary policy?. Physics Letters A, v. 372, p. 181-184, 2008.http://twingo.ucb.br:8080/jspui/handle/10869/292https://repositorio.ucb.br:9443/jspui/handle/123456789/7394This 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.Made available in DSpace on 2016-10-10T03:51:20Z (GMT). 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dc.title.pt_BR.fl_str_mv Long-range dependence in interest rates and monetary policy?
title Long-range dependence in interest rates and monetary policy?
spellingShingle Long-range dependence in interest rates and monetary policy?
Cajueiro, Daniel Oliveira
title_short Long-range dependence in interest rates and monetary policy?
title_full Long-range dependence in interest rates and monetary policy?
title_fullStr Long-range dependence in interest rates and monetary policy?
title_full_unstemmed Long-range dependence in interest rates and monetary policy?
title_sort Long-range dependence in interest rates and monetary policy?
author Cajueiro, Daniel Oliveira
author_facet Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
author_role author
author2 Tabak, Benjamin Miranda
author2_role author
dc.contributor.author.fl_str_mv Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
dc.description.abstract.por.fl_txt_mv 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.
dc.description.version.pt_BR.fl_txt_mv Sim
dc.description.status.pt_BR.fl_txt_mv Publicado
description 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.
publishDate 2008
dc.date.issued.fl_str_mv 2008
dc.date.accessioned.fl_str_mv 2016-10-10T03:51:20Z
dc.date.available.fl_str_mv 2016-10-10T03:51:20Z
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
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dc.identifier.citation.fl_str_mv CAJUEIRO, D ; TABAK, B . Long-range dependence in interest rates and monetary policy?. Physics Letters A, v. 372, p. 181-184, 2008.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/292
https://repositorio.ucb.br:9443/jspui/handle/123456789/7394
identifier_str_mv CAJUEIRO, D ; TABAK, B . Long-range dependence in interest rates and monetary policy?. Physics Letters A, v. 372, p. 181-184, 2008.
url http://twingo.ucb.br:8080/jspui/handle/10869/292
https://repositorio.ucb.br:9443/jspui/handle/123456789/7394
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