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Mean Reversion of Real Interest Rates in G-20: Panel Kss Test by Spsm with a Fourier Function

Author

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  • Chang, Chih Kai

    (Department of Risk Management and Insurance, Feng Chia University, Taichung, Taiwan.)

Abstract

This study applies the Sequential Panel Selection Method (SPSM) to test the mean reversion properties in the real interest rates for the G-20 countries. SPSM classifies the whole panel into a group of stationary countries and a group of non-stationary countries. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the Panel KSS test with a Fourier function indicate that the mean reversion holds true for all G-20 countries. Our results have important policy implications for the G-20 countries under study.

Suggested Citation

  • Chang, Chih Kai, 2012. "Mean Reversion of Real Interest Rates in G-20: Panel Kss Test by Spsm with a Fourier Function," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 58-68, September.
    • Handle: RePEc:rjr:romjef:v::y:2012:i:3:p:58-68
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    More about this item

    Keywords

    Mean Reversion; Real Interest Rate; Sequential Panel Selection Method; G-10 Countries;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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