Working Paper 206

Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy


Daniel Oliveira Cajueiro and Benjamin M. Tabak


Resumo

Este artigo apresente evidência empírica de que o grau de dependência de longo prazo das taxas de juros depende da conduta da política monetária. Estuda-se a estrutura a termo de taxas de juros dos EUA e encotra-se que os coeficientes de Hurst globais mudam dramaticamente de acordo com mudanças na presidência do FED. No período de 1960 ao experimento monetário de início dos anos 80 as taxas de juros tinham dependência de longo prazo significativa. Após esse período, durante a gestão de Volcker e Greenspan as taxas de juros não apresentaram esse comportamento. Estes resultados lançam alguma luz sobre as origens da dependência de longo prazo.

Abstract

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 1960's until the monetarist experiment in the beginning of the 1980's 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.