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Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain

  • Nicolas Million

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

Dans cet article, nous analysons le taux d'intérêt réel pour les bons du Trésor américain à trois mois par l'intermédiaire d'une représentation SETAR (Self Exciting Threshold AutoRegressive). Dans le but de distinguer la non linéarité de la non-stationnarité, nous utilisons des tests très récents d'intégration à seuil contre une alternative stationnaire et non linéaire. Une innovation de ce travail réside dans l'introduction de ruptures structurelles dans la partie déterministe. Cela implique que la valeur du paramètre de seuil estimée par le modèle varie après un changement de structure du modèle. Les résultats empiriques des tests de linéarité soutiennent l'hypothèse d'un processus de retour à la moyenne non linéaire pour le taux d'intérêt réel américain sur les cinquante dernières années. Cependant, l'application des tests de racine unitaire ne sont pas si définitifs par rapport à l'hypothèse de stationnarité : le taux d'intérêt réel semble stationnaire uniquement pour le régime bas, défini par le paramètre de seuil estimé.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00119051.

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Date of creation: Oct 2006
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Handle: RePEc:hal:cesptp:halshs-00119051
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