Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain

Nicolas Million ()
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Nicolas Million: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this article, we analyze the real interest rate series of the three-month Treasury Bill rates in the frameworkk of a SETAR model (Self Exciting Threshold Auto-Regressive). With the aim of disentangling the non-linearity from the non-stationarity cases, we use very recent threshold integration tests against a stationary but non-linear alternative hypothesis. One innovation consists in the introduction of structural breaks in the deterministic part of the process. This long-run representation therefore allows for a time-varying threshold parameter in the model. Empirical results strongly call for non-linear reversion effects concerning the real interest rate series during the last fifty years. However, the conclusion of the unit root tests are not so straightforward concerning the hypothesis of stationarity: the real interest rate seems to be stationary only for the lower regime, determined by the estimated threshold.

Keywords: SETAR Model; structural break; real interest rate; switching regime; Modèle SETAR; rupture structurelle; taux d'intérêtt réel; changement de régime (search for similar items in EconPapers)
Date: 2006-10
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Published in 2006

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