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

Author

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  • Nicolas Million

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this article, we analyze the real interest rate series of the three-month Treasury Bill rates in the frameworkk of a SETAR model (Self Exciting Threshold Auto-Regressive). With the aim of disentangling the non-linearity from the non-stationarity cases, we use very recent threshold integration tests against a stationary but non-linear alternative hypothesis. One innovation consists in the introduction of structural breaks in the deterministic part of the process. This long-run representation therefore allows for a time-varying threshold parameter in the model. Empirical results strongly call for non-linear reversion effects concerning the real interest rate series during the last fifty years. However, the conclusion of the unit root tests are not so straightforward concerning the hypothesis of stationarity: the real interest rate seems to be stationary only for the lower regime, determined by the estimated threshold.

Suggested Citation

  • Nicolas Million, 2006. "Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00119051, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00119051
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00119051
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    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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