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Time Series Behaviour of the Real Interest Rates in Transition Economies

Author

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  • Pelin Oge Guney

    (Hacettepe University, Department of Economics)

  • Erdinc Telatar

    (Hacettepe University, Department of Economics)

  • Mubariz Hasanov

    (Hacettepe University, Department of Economics)

Abstract

Stationarity properties of real interest rates are examined for 21 transition economies. Owing to transaction costs and other frictions, it is quite plausible that we deal with potential non-linearities in the real interest rate. Therefore we examine stationarity of real interest rate allowing for non-linearities and asymmetric adjustment with smooth structural change in the data generating process. Our findings suggest that taking account of non-linearities in the data generating process results in rejection of the unit root null hypothesis for some countries which seem to be non-stationary according to conventional unit root tests. This finding points to the importance of allowing for both structural breaks and asymmetric adjustment in real interest rate series of transition countries.

Suggested Citation

  • Pelin Oge Guney & Erdinc Telatar & Mubariz Hasanov, 2012. "Time Series Behaviour of the Real Interest Rates in Transition Economies," Hacettepe University Department of Economics Working Papers 20125, Hacettepe University, Department of Economics.
    • Handle: RePEc:hac:hacwop:20125
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    File URL: http://www.iktisat.hacettepe.edu.tr/WP/WP-2012-5.pdf
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    2. Andrew Phiri, 2018. "Asymmetric Pass-through Effects from Monetary Policy to Housing Prices in South Africa," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 16(2 (Summer), pages 123-140.
    3. Afsin Sahin, 2019. "Loom of Symmetric Pass-Through," Economies, MDPI, vol. 7(1), pages 1-25, February.

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    More about this item

    Keywords

    Real Interest Rate; Transition Economies; Structural Break; Nonlinearity; Unit Root;
    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
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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