Simultaneous Tests for Non-stationarity and Non-linearity: An Application to Real Interest Rates in the US (notice n° 699707)
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| fixed length control field | 01656cam a2200205 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121212936.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Million, Nicolas |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Simultaneous Tests for Non-stationarity and Non-linearity: An Application to Real Interest Rates in the US |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2010.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 82 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | We use an M-SETAR (Momentum–Self-Exciting Threshold Auto-Regressive) model to analyze U.S. real short-term interest rates over the last five decades. To separate non-linearity cases from non-stationarity cases, we use threshold integration tests against a stationary but non-linear alternative hypothesis. One innovation consists in introducing a structural break in the deterministic component of the process. This enables our model to take account of shifting regimes both in the deterministic part (mean shift) and in the stochastic part (threshold effects). The empirical application concerns the gap between the ex post real interest rate and its natural level, which changes after the break date. We find evidence that the real interest-rate gap follows a two-regime threshold process. Furthermore, the process seems to behave like a martingale in one of the regimes, highlighting the “reactive” characteristics of monetary policy in the corresponding periods. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | regime shift |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | real interest rate |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | M-SETAR model |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | structural break |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Economie & prévision | o 192 | 1 | 2010-08-25 | p. 83-95 | 0249-4744 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-economie-et-prevision-1-2010-1-page-83?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-economie-et-prevision-1-2010-1-page-83?lang=en&redirect-ssocas=7080</a> |
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