کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069932 1373221 2010 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fluctuation dynamics in US interest rates and the role of monetary policy
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Fluctuation dynamics in US interest rates and the role of monetary policy
چکیده انگلیسی
This paper presents empirical evidence suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of interest rates for the US and find evidence that global Hurst exponents change dramatically according to Chairman Tenure in the Federal Reserve Board and also with changes in the conduct of monetary policy. In the period from 1960s until the monetarist experiment in the beginning of the 1980s interest rates had a significant long-range dependence behavior. However, in the recent period, in the second part of the Volcker tenure and in the Greenspan tenure, interest rates do not present long-range dependence behavior. These empirical findings cast some light on the origins of long-range dependence behavior in financial assets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 7, Issue 3, September 2010, Pages 163-169
نویسندگان
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