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dc.contributor.authorSensoy, A.en_US
dc.date.accessioned2016-02-08T09:34:49Z
dc.date.available2016-02-08T09:34:49Z
dc.date.issued2013en_US
dc.identifier.issn0960-0779
dc.identifier.urihttp://hdl.handle.net/11693/20766
dc.description.abstractWe 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.en_US
dc.language.isoEnglishen_US
dc.source.titleChaos, Solitons and Fractalsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.chaos.2013.09.002en_US
dc.subjectEconomic theoriesen_US
dc.subjectEmerging marketsen_US
dc.subjectGeneralized hurst exponenten_US
dc.subjectInterest ratesen_US
dc.subjectLehman brothersen_US
dc.subjectLong memoryen_US
dc.subjectMonetary policiesen_US
dc.subjectTime varyingen_US
dc.subjectMathematical techniquesen_US
dc.subjectEconomicsen_US
dc.titleEffects of monetary policy on the long memory in interest rates: Evidence from an emerging marketen_US
dc.typeArticleen_US
dc.departmentDepartment of Mathematicsen_US
dc.citation.spage85en_US
dc.citation.epage88en_US
dc.citation.volumeNumber57en_US
dc.identifier.doi10.1016/j.chaos.2013.09.002en_US
dc.publisherElsevieren_US
dc.identifier.eissn1873-2887


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