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

In this article, we analyze the real interest rate series of the three-month Treasury Bill rates in the framework 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 mean 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.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/cahiers2006/V06067.pdf
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Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number v06067.

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Length: 22 pages
Date of creation: Oct 2006
Date of revision:
Handle: RePEc:mse:wpsorb:v06067
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  1. Henry, O.T., 1999. "Changes in Regime and the Long Run Fisher Effect: a Threshold Cointegration Analysis," Department of Economics - Working Papers Series 720, The University of Melbourne.
  2. Orphanides, Athanasios & Wilcox, David W, 2002. "The Opportunistic Approach to Disinflation," International Finance, Wiley Blackwell, vol. 5(1), pages 47-71, Spring.
  3. Frédérique Bec & Mélika Ben Salem & Ronald MacDonald, 2006. "Real exchange rates and real interest rates : a nonlinear perspective," Recherches économiques de Louvain, De Boeck Université, vol. 72(2), pages 177-194.
  4. Saikkonen, Pentti & Lütkepohl, Helmut, 1999. "Testing for a unit root in a time series with a level shift at unknown time," SFB 373 Discussion Papers 1999,72, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  5. D H Kim & D R Osborn & M Sensier, 2002. "Nonlinearity in the Fed's Monetary Policy Rule," The School of Economics Discussion Paper Series 0205, Economics, The University of Manchester.
  6. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
  7. Richard Clarida & Jordi Gali & Mark Gertler, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," NBER Working Papers 6442, National Bureau of Economic Research, Inc.
  8. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
    • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
  9. Dolado, Juan José & Ruge Murcia, F. J. & Ramón, Maria Dolores, 2002. "Nonlinear monetary policy rules: some new evidence for the US," UC3M Working papers. Economics we022910, Universidad Carlos III de Madrid. Departamento de Economía.
  10. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
  11. Sola, Martin & Driffill, John, 1994. "Testing the term structure of interest rates using a stationary vector autoregression with regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 601-628.
  12. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-84, November.
  13. Pippenger, Michael K & Goering, Gregory E, 1993. "A Note on the Empirical Power of Unit Root Tests under Threshold Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(4), pages 473-81, November.
  14. John Huizinga & Frederic S. Mishkin, 1985. "Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates," NBER Working Papers 1678, National Bureau of Economic Research, Inc.
  15. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
  16. Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche 9428, Universite de Montreal, Departement de sciences economiques.
  17. Enders, Walter & Siklos, Pierre L, 2001. "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-76, April.
  18. Arusha Cooray, 2002. "The Fisher Effect: A Review of the Literature," Research Papers 0206, Macquarie University, Department of Economics.
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