Time Series Behaviour of the Real Interest Rates in Transition Economies

Pelin Oge Guney (), Erdinc Telatar and Mübariz Hasanov

No 20125, Hacettepe University Department of Economics Working Papers from Hacettepe University, Department of Economics

Abstract: 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 deal with potential non-linearities in the real interest rate. Therefore we examine stationarity of 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 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 real interest rate series of transition countries.

Keywords: Real Interest Rate; Transition Economies; Structural Break; Nonlinearity; Unit Root (search for similar items in EconPapers)
JEL-codes: C22 E43 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2012
New Economics Papers: this item is included in nep-tra
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Citations: View citations in EconPapers (4)

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Journal Article: Time series behaviour of the real interest rates in transition economies (2015)
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