پویایی های نوسانات در نرخ بهره آمریکا و نقش سیاست پولی

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.

In the past decades the US economy has experienced low inflation and little variation in real activity if compared to the 1970s. These improvements have been largely attributed to a change in the way the Federal Reserve conducts monetary policy. A number of research papers have suggested that a structural break in the conduct of monetary policy has occurred since Paul Volcker became Chairman of the Federal Reserve in August 1979 (see Clarida et al., 2000). However, there is little consensus as whether a change in the conduct of monetary policy has indeed occurred and if it has what would be the dates of these changes (Boivin, 2006). This paper has three main contributions. First, we present evidence of a structural break in long-range dependence for long-term interest rates. The break seems to be related to the conduct of monetary policy. Second, we employ a non-parametric technique to analyze long-range dependence, which is robust to short-term dynamics misspecification. Third, we also test for long-range dependence for inflation and find that the degree of long-range dependence has decreased substantially in the post-1982 period. We contribute to the debate on monetary policy by studying changes in persistence in interest rates for different maturities for the US. We investigate 1-, 3-, 5- and 10-year maturity interest rates and present overwhelming evidence that a structural break has occurred in the dynamics of these interest rates. We employ methods recently developed in statistical physics and show that interest rates’ persistence has decreased substantially in the post-1982 period, while there is evidence of strong long-range dependence in the pre-1982 period. Therefore, the evidence in this paper is in line with the reasoning that a structural break has occurred in the conduct of monetary policy in the early 1980s. This paper proceeds as follows: In Section 2, a brief review of the literature is presented. In Section 3, the methodology to estimate generalized Hurst exponents is reviewed. In Section 4, the data used in this work is described. Section 5 presents the empirical results. Finally, in Section 6, this paper is concluded.

6. Conclusions Testing for long-range dependence in asset prices has been subject of intense investigation in the financial literature. There are many implications for portfolio and risk management. For example, traditional option pricing models should be modified to incorporate long-range dependence features in asset prices and volatility. Furthermore, if the long-range dependence parameters change over time, then the time series that are being studied possess more information than is given by monofractal models. Therefore, studies that focus on how and why long-range parameters change over time may be particularly useful as they can be used to determine structural breaks or shifts in these time series. This paper offers a fresh look at the properties of interest rates for the US. The empirical evidence suggests that interest rates had strong long memory in the pre-Volcker administration and that after 1982 this evidence has disappeared. These results suggest a structural break in the dynamics of interest rates. They also imply that careful should be taken when studying long time series as the parameters that characterize them may change over time, which is evidence of multifractality. It is important to notice that our sample period includes important changes in the macroeconomic environment, as exchange rates become flexible in the mid-1970s and early 1980s. Therefore, in a fixed exchange rate framework shocks to the economy must be absorbed mainly by movements in interest rates, which implies in more persistent interest rates’ dynamic. However, in flexible exchange rate regimes policy makers have more degrees of freedom to absorb shocks into the economy, as exchange rates may absorb partially such shocks.