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The expectation hypothesis of interest rates and network theory: The case of Brazil

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  • Tabak, Benjamin M.
  • Serra, Thiago R.
  • Cajueiro, Daniel O.

Abstract

This paper investigates the topological properties of the Brazilian term structure of interest rates network. We build the minimum spanning tree (MST), which is based on the concept of ultrametricity, using the correlation matrix for interest rates of different maturities. We show that the short-term interest rate is the most important within the interest rates network, which is in line with the Expectation Hypothesis of interest rates. Furthermore, we find that the Brazilian interest rates network forms clusters by maturity.

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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 388 (2009)
Issue (Month): 7 ()
Pages: 1137-1149

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Handle: RePEc:eee:phsmap:v:388:y:2009:i:7:p:1137-1149

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

Related research

Keywords: Interest rates network; Emerging markets; Term structure of interest rates; Econophysics; Minimum spanning tree;

References

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Citations

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Cited by:
  1. Ahmet Sensoy & Benjamin M. Tabak, 2014. "Dynamic spanning trees in stock market networks: The case of Asia-Pacific," Working Papers Series, Central Bank of Brazil, Research Department 351, Central Bank of Brazil, Research Department.
  2. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Stock market networks: The dynamic conditional correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4147-4158.
  3. Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective," Energy Economics, Elsevier, Elsevier, vol. 34(5), pages 1380-1391.
  4. Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011. "Modeling default probabilities: The case of Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 21(4), pages 513-534, October.
  5. Ladislav Kristoufek & Karel Janda & David Zilberman, 2013. "Regime-dependent topological properties of biofuels networks," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, Springer, vol. 86(2), pages 1-12, February.
  6. Kantar, Ersin & Keskin, Mustafa, 2013. "The relationships between electricity consumption and GDP in Asian countries, using hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5678-5684.
  7. Theophilos Papadimitriou & Periklis Gogas & Benjamin M. Tabak, 2013. "Complex Networks and Banking Systems Supervision," Working Papers Series, Central Bank of Brazil, Research Department 306, Central Bank of Brazil, Research Department.

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