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A comparative Long-memory Analysis between Spanish, Mexican and U.S. interest rates

Author

Listed:
  • Fernando Espinosa Navarro
  • Klender Cortez
  • Roman Jordi Adillon Boladeres

    (Universitat de Barcelona)

Abstract

Evidence exists that many natural facts are described better as a fractal. Although fractals are very useful for describing nature, it is also appropiate to review the concept of random fractal in finance. Due to the extraordinary importance of Brownian motion in physics, chemistry or biology, we will consider the generalization that supposes fractional Brownian motion introduced by Mandelbrot. The main goal of this work is to analyse the existence of long range dependence in instantaneous forward rates of different financial markets. Concretelly, we perform an empirical analysis on the Spanish, Mexican and U.S. interbanking interest rate. We work with three time series of daily data corresponding to 1 day operations from 28th March 1996 to 21st May 2002. From among all the existing tests on this matter we apply the methodology proposed in Taqqu, Teverovsky and Willinger (1995).

Suggested Citation

  • Fernando Espinosa Navarro & Klender Cortez & Roman Jordi Adillon Boladeres, 2006. "A comparative Long-memory Analysis between Spanish, Mexican and U.S. interest rates," Working Papers in Economics 149, Universitat de Barcelona. Espai de Recerca en Economia.
    • Handle: RePEc:bar:bedcje:2006149
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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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