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Testing for long-range dependence in the Brazilian term structure of interest rates
- Source :
-
Chaos, Solitons & Fractals . May2009, Vol. 40 Issue 4, p1559-1573. 15p. - Publication Year :
- 2009
-
Abstract
- Abstract: This paper presents empirical evidence of fractional dynamics in interest rates for different maturities for Brazil. A variation of a newly developed test for long-range dependence, the V/S statistic, with a post-blackening bootstrap is employed. Results suggest that Brazilian interest rates possess strong long-range dependence in volatility, even when considering the structural break in 1999. These findings imply that the development of policy models that give rise to long-range dependence in interest rates’ volatility could be very useful. The long–short-term interest rates spread has strong long-range dependence, which suggests that traditional tests of expectation hypothesis of the term structure of interest rates may be misspecified. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 09600779
- Volume :
- 40
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Chaos, Solitons & Fractals
- Publication Type :
- Periodical
- Accession number :
- 39348497
- Full Text :
- https://doi.org/10.1016/j.chaos.2007.09.054