EconPapers    
Economics at your fingertips  
 

Test simultané de la non-stationnarité et de la non-linéarité: une application au taux d'intérêt réel américain

Nicolas Million

Economie & Prévision, 2010, vol. n° 192, issue 1, 83-95

Abstract: We use an M-SETAR (Momentum?Self-Exciting Threshold Auto-Regressive) model to analyze U.S. real short-term interest rates over the last five decades. To separate non-linearity cases from non-stationarity cases, we use threshold integration tests against a stationary but non-linear alternative hypothesis. One innovation consists in introducing a structural break in the deterministic component of the process. This enables our model to take account of shifting regimes both in the deterministic part (mean shift) and in the stochastic part (threshold effects). The empirical application concerns the gap between the ex post real interest rate and its natural level, which changes after the break date. We find evidence that the real interest-rate gap follows a two-regime threshold process. Furthermore, the process seems to behave like a martingale in one of the regimes, highlighting the ?reactive? characteristics of monetary policy in the corresponding periods.

Keywords: M-SETAR model; structural break; real interest rate; regime shift (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=ECOP_192_0083 (application/pdf)
http://www.cairn.info/revue-economie-et-prevision-1-2010-1-page-83.htm (text/html)
free

Related works:
Journal Article: Test simultané de la non-stationnarité et de la non-linéarité: une application au taux d’intérêt réel américain (2010) Downloads
Working Paper: Test simultané de la non-stationnarité et de la non-linéarité: une application au taux d.intérêt réel américain (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cai:ecoldc:ecop_192_0083

Access Statistics for this article

More articles in Economie & Prévision from La Documentation Française
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().

 
Page updated 2023-01-19
Handle: RePEc:cai:ecoldc:ecop_192_0083