Time series behavior of the short-term real interest rates in industrial countries

Su Zhou
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Su Zhou: The University of Texas at San Antonio

No 64, Working Papers from College of Business, University of Texas at San Antonio

Abstract: With quarterly data of a sample period starting from 1973, the conventional unit root tests reject the null of nonstationarity in favor of the alternative of linear stationarity for short-term real interest rates (RIRs) of non-European industrial countries. There is evidence of nonlinearities in many European countries’ RIRs, most of which appear to be stationary exponential smooth transition autoregressive processes.

Keywords: Real interest rates; Unit root; Nonlinear stationarity (search for similar items in EconPapers)
JEL-codes: C22 E4 G1 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2009-03-26
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