Long-range dependence in interest rates and monetary policy
نویسندگان
چکیده
منابع مشابه
Long-range dependence in Interest Rates and Monetary Policy
This 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 ...
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ژورنال
عنوان ژورنال: Physics Letters A
سال: 2008
ISSN: 0375-9601
DOI: 10.1016/j.physleta.2007.04.053