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Long-range dependence in Interest Rates and Monetary Policy

Daniel O. Cajueiro·Benjamin M. Tabak
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Abstract

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 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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Daniel O. Cajueiro, Benjamin M. Tabak. 2006-07-26. Long-range dependence in Interest Rates and Monetary Policy. https://arxiv.org/abs/physics/0607245

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