Testing for long-range dependence in the Brazilian term structure of interest rates

作者：Cajueiro Daniel O; Tabak Benjamin M^*

来源：Chaos Solitons & Fractals, 2009, 40(4): 1559-1573.

DOI：10.1016/j.chaos.2007.09.054

This paper presents empirical evidence of fractional dynamics in interest rates for different maturities for Brazil. A variation of it newly developed test for long-range dependence, the VIS 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 flits strong long-range dependence, which suggests that traditional tests of expectation hypothesis of the term structure of interest rates may be misspecified.

• 出版日期2009-5-30