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      Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market

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      Author
      Sensoy, A.
      Date
      2013
      Source Title
      Chaos, Solitons and Fractals
      Print ISSN
      0960-0779
      Electronic ISSN
      1873-2887
      Publisher
      Elsevier
      Volume
      57
      Pages
      85 - 88
      Language
      English
      Type
      Article
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      Abstract
      We study the presence of long memory in a variety of interest rates in Turkey by time-varying generalized Hurst exponent. We reveal that adopting inflation targeting cause a sudden and considerable decrease in the long memory in interest rates. The improvement lasts till the collapse of Lehman Brothers in 2008 which is followed with an increased persistence in interest rates. Moreover, degree of long memory increases with maturity which is in contrast to economic theory.
      Keywords
      Economic theories
      Emerging markets
      Generalized hurst exponent
      Interest rates
      Lehman brothers
      Long memory
      Monetary policies
      Time varying
      Mathematical techniques
      Economics
      Permalink
      http://hdl.handle.net/11693/20766
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.chaos.2013.09.002
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