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Searching threshold effects in the interest rate: An application to Turkey case

✍ Scribed by Nilgun Cil Yavuz; Burak Guris; Veli Yilanci

Book ID: 103882622
Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 256 KB
Volume: 379
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2007.01.014

No coin nor oath required. For personal study only.

✦ Synopsis

This paper investigates the behaviour of interest rates in Turkey using a two-regime TAR model with an autoregressive unit root. This method recently developed by Caner and Hansen [Threshold autoregression with a unit roots, Econometrica 69 (6) (2001) 1555-1596] allows to simultaneously consider non-stationarity and non-linearity. Our finding indicates that the interest rate is a non-linear series and is characterized by a unit root process over the period 1990:1-2006:5.

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