Evidence of nonlinear mean reversion in the real interest rate

Autor:	Jean-Francois Lamarche, Zisimos Koustas
Rok vydání:	2010
Předmět:	Economics and Econometrics Cointegration media_common.quotation_subject Monetary policy Mean reversion Economics Econometrics Fisher hypothesis Unit root Real interest rate Rendleman–Bartter model Interest rate media_common
Zdroj:	Applied Economics. 42:237-248
ISSN:	1466-4283 0003-6846
DOI:	10.1080/00036840701579242
Popis:	This article utilizes tests for a unit root that have power against nonlinear alternatives to provide empirical evidence on the time series properties of the ex-post real interest rate in the G7 countries. We find that the unit root hypothesis can be rejected in the presence of a nonlinear alternative motivated by theoretical literature on optimal monetary policy rules. This represents a reversal of the results obtained using standard linear unit-root and cointegration tests. Tests for linearity reject this hypothesis for Canada, France, Italy and Japan for which we estimate nonlinear models capturing the dynamics of the interest rate. For these countries, ex-post real interest rates follow a nonlinear model characterized by mean reversion and provide statistical evidence for the Fisher effect.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::f743a7779d5e031a32896cc389374285 https://doi.org/10.1080/00036840701579242 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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