Searching threshold effects in the interest rate: An application to Turkey case
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.379, sa.2, ss.621-627, 2007 (SCI-Expanded)
- 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.