Time series behaviour of the real interest rates in transition economies
Bibliographic Data
| ID | 15067668 |
|---|---|
| Authors | Pelin Öge Güney (0000-0002-2093-9133, Hacettepe University, corresponding author), Erdinç Telatar (Okan University), Mübariz Hasanov (0000-0003-0216-9531, Okan University) |
| Year | 2015 |
| Volume | 28 |
| Issue | 1 |
| Pages | 104-118 |
| Publication date | 2015-01-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2015.1028240 |
| OpenAlex | W1970098663 |
| Language | EN |
| References cited | 60 |
Stationarity properties of real interest rates are examined for 21 transition economies. Owing to transaction costs and other frictions, it is quite plausible that we are dealing with potential non-linearities in the real interest rate. Therefore we examine stationarity of the real interest rate allowing for non-linearities and asymmetric adjustment with smooth structural change in the data generating process. Our findings suggest that taking account of non-linearities in the data generating process results in a rejection of the unit root null hypothesis for some countries which seem to be non-stationary according to conventional unit root tests. This finding points to the importance of allowing for both structural breaks and asymmetric adjustment in the real interest rate series of transition countries
Econometrics · Economics · Interest rate · Macroeconomics · Microeconomics · Real interest rate · Structural break · Transaction cost · Unit root · Computer Science · Economic theories and models · Economic Theory and Policy · Monetary Policy and Economic Impact · Geology
Money and Economic Growth
Threshold Cointegration
Testing for a unit root in the nonlinear STAR framework
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
An Analysis of the Real Interest Rate Under Regime Shifts
The Fisher Effect and the Term Structure of Interest Rates
A Monetary Equilibrium Model with Transactions Costs
Inflation and Real Interest
Publications of the American Economic Association
Stabilization and Growth in Transition Economies
Econometric Analysis of Fisher's Equation
| Highly cited | No |
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