Long-range dependence in Interest Rates and Monetary Policy

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dc.creatorCajueiro, Daniel O.
dc.creatorTabak, Benjamin M.
dc.date2006-07-26
dc.date.accessioned2026-07-07T12:07:48Z
dc.date.available2026-07-07T12:07:48Z
dc.descriptionThis paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper 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.identifierhttps://arxiv.org/abs/physics/0607245
dc.identifierhttp://arxiv.org/abs/physics/0607245
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209097
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titleLong-range dependence in Interest Rates and Monetary Policy
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