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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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Author Info
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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Publisher Info
Paper provided by Banque de France in its series Documents de Travail with number 201.

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

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

Find related papers by JEL classification:
E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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  15. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February. [Downloadable!] (restricted)
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