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

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  • Su Zhou

    (The 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.

Suggested Citation

  • Su Zhou, 2009. "Time series behavior of the short-term real interest rates in industrial countries," Working Papers 0064, College of Business, University of Texas at San Antonio.
    • Handle: RePEc:tsa:wpaper:00109eco
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    File URL: http://interim.business.utsa.edu/wps/eco/0064ECO-106-2009.pdf
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    References listed on IDEAS

    as
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    2. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
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    4. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
    5. repec:bla:jfinan:v:43:y:1988:i:5:p:1095-1112 is not listed on IDEAS
    6. Koustas, Zisimos & Serletis, Apostolos, 1999. "On the Fisher effect," Journal of Monetary Economics, Elsevier, vol. 44(1), pages 105-130, August.
    7. Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Real interest rates; Unit root; Nonlinear stationarity;
    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
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G1 - Financial Economics - - General Financial Markets

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