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

Yavuz N. C., GÜRİŞ B., Yilanci V.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.379, sa.2, ss.621-627, 2007 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 379 Sayı: 2
  • Basım Tarihi: 2007
  • Doi Numarası: 10.1016/j.physa.2007.01.014
  • Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.621-627
  • Anahtar Kelimeler: threshold autoregressive model (TAR), unit root, interest rates, PURCHASING POWER PARITY, NUISANCE PARAMETER, AUTOREGRESSION, HYPOTHESIS, TESTS
  • Çanakkale Onsekiz Mart Üniversitesi Adresli: Hayır

Özet

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. (C) 2007 Elsevier B.V. All rights reserved.