Searching threshold effects in the interest rate: An application to Turkey case

Nilgun Cil Yavuz, Burak Güriş () and Veli Yilanci

Physica A: Statistical Mechanics and its Applications, 2007, vol. 379, issue 2, 621-627

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.

Keywords: Threshold autoregressive model (TAR); Unit root; Interest rates (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:379:y:2007:i:2:p:621-627

DOI: 10.1016/j.physa.2007.01.014

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