  This paper presents empirical evidence using recently developed techniques in
econophysics 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 1960's until
the monetarist experiment in the beginning of the 1980's 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.
