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, vol.379, no.2, pp.621-627, 2007 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 379 Issue: 2
  • Publication Date: 2007
  • Doi Number: 10.1016/j.physa.2007.01.014
  • Journal Name: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.621-627
  • Keywords: threshold autoregressive model (TAR), unit root, interest rates, PURCHASING POWER PARITY, NUISANCE PARAMETER, AUTOREGRESSION, HYPOTHESIS, TESTS
  • Çanakkale Onsekiz Mart University Affiliated: No

Abstract

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.