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Time series behavior of the short-term real interest rates in industrial countries

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  • Su Zhou

    (The University of Texas at San Antonio)

Abstract

With quarterly data of a sample period starting from 1973, the conventional unit root tests reject the null of nonstationarity in favor of the alternative of linear stationarity for short-term real interest rates (RIRs) of non-European industrial countries. There is evidence of nonlinearities in many European countries’ RIRs, most of which appear to be stationary exponential smooth transition autoregressive processes.

Suggested Citation

  • Su Zhou, 2009. "Time series behavior of the short-term real interest rates in industrial countries," Working Papers 0064, College of Business, University of Texas at San Antonio.
    • Handle: RePEc:tsa:wpaper:00109eco
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    File URL: http://interim.business.utsa.edu/wps/eco/0064ECO-106-2009.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Real interest rates; Unit root; Nonlinear stationarity;
    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
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G1 - Financial Economics - - General Financial Markets

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