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Test simultané de la non-stationnarité et de la non-linéarité : une application au taux d.intérêt réel américain

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  • Million, N.

Abstract

In this article, we analyze the US short term real interest rate series for the last five decades in the framework of a M-SETAR model (Momentum - Self Exciting Threshold Auto-Regressive). With the aim of disentangling the non-linearity from the non-stationarity cases, we use threshold integration tests against a stationary but non-linear alternative hypothesis. One innovation consists in the introduction of a structural break in the deterministic component of the process. Therefore, our model allows for shifting regimes both in the deterministic part (mean shift) and in the stochastic part (threshold effects). The empirical application concerns the gap between the ex post real interest rate and its natural level which changes after the break date. Our results show some evidence that the real interest gap follows a two-regimes threshold process. Furthermore, the process seems to behave as a martingale in one of the regimes, highlighting the "reactive" characteristics of the monetary policy during these corresponding periods.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 201.

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Length: 25 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:bfr:banfra:201

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research

Keywords: M-SETAR Model ; Structural break ; Real interest rate ; Switching regime.;

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References

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