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

Nicolas Million

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00119051
References: Add references at CitEc
Citations:

Published in 2006

Downloads: (external link)
https://shs.hal.science/halshs-00119051/document (application/pdf)

Related works:
Working Paper: Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain (2006)
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:hal:cesptp:halshs-00119051

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().