Searching threshold effects in the interest rate: An application to Turkey case |
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Authors: | Nilgun Cil Yavuz Burak GurisVeli Yilanci |
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Institution: | Faculty of Economics, Istanbul University, 34126 Beyazit, Istanbul, Turkey |
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Abstract: | This paper investigates the behaviour of interest rates in Turkey using a two-regime TAR model with an autoregressive unit root. This method recently developed by Caner and Hansen Threshold autoregression with a unit roots, Econometrica 69 (6) (2001) 1555–1596] allows to simultaneously consider non-stationarity and non-linearity. Our finding indicates that the interest rate is a non-linear series and is characterized by a unit root process over the period 1990:1–2006:5. |
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Keywords: | Threshold autoregressive model (TAR) Unit root Interest rates |
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