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physics.data-an2006
Econophysics of interest rates and the role of monetary policy
Daniel O. Cajueiro, Benjamin M. Tabak
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the cond…
physics.data-an2006
Long-range dependence in Interest Rates and Monetary Policy
Daniel O. Cajueiro, Benjamin M. Tabak
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-rang…