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Journals / Doğuş Üniversitesi Dergisi / 2022 / Cilt: 23 - Sayı: 1

TESTING THE INTEREST RATE HYSTERESIS FOR SELECTED EUROPEAN COUNTRIES: FINDINGS OF NONLINEAR UNIT ROOT TEST

SEÇİLMİŞ AVRUPA ÜLKELERİ İÇİN FAİZ HİSTERİSİNİN TEST EDİLMESİ: DOĞRUSAL OLMAYAN BİRİM KÖK TESTİ BULGULARI

Gürçem ÖZAYTÜRK
Ali Eren ALPER
Pages
59–70
Publication Date
2022-10-11
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

According to the asymmetric exponential smooth transition threshold autoregressive model (AESTAR), developed by Sollis (2009) as one of the nonlinear unit root tests, was performed to test the stationarity of the series, and according to the results, the long-term real interest rate series in all countries other than Belgium were determined to contain unit-roots.

📌 3 Key Takeaways

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Objective & Hypothesis:This study aims to analyze the stationarity of real interest rates in 10 selected European Countries such as Turkey, Germany, Spain, France, Italy, the Netherlands, Hungary, Belgium, Poland, and the Czech Republic over the period 2002:01 - 2020:12 within the context of the monthly observations.
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Key Findings & Data:This study aims to analyze the stationarity of real interest rates in 10 selected European Countries such as Turkey, Germany, Spain, France, Italy, the Netherlands, Hungary, Belgium, Poland, and the Czech Republic over the period 2002:01 - 2020:12 within the context of the monthly observations.
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Conclusion & Impact:According to the asymmetric exponential smooth transition threshold autoregressive model (AESTAR), developed by Sollis (2009) as one of the nonlinear unit root tests, was performed to test the stationarity of the series, and according to the results, the long-term real interest rate series in all countries other than Belgium were determined to contain unit-roots.
🔬Design:Modeling & Simulation
📍Scope:2002 Verileri
⚙️Variables:Faiz Histerisi · Doğrusal Olmayan Birim Kök Testi · AESTAR

Abstract

This study aims to analyze the stationarity of real interest rates in 10 selected European Countries such as Turkey, Germany, Spain, France, Italy, the Netherlands, Hungary, Belgium, Poland, and the Czech Republic over the period 2002:01 - 2020:12 within the context of the monthly observations. According to the asymmetric exponential smooth transition threshold autoregressive model (AESTAR), developed by Sollis (2009) as one of the nonlinear unit root tests, was performed to test the stationarity of the series, and according to the results, the long-term real interest rate series in all countries other than Belgium were determined to contain unit-roots.

Özet

Bu çalışma Türkiye, Almanya, İspanya, Fransa, İtalya, Hollanda, Macaristan, Belçika, Polonya ve Çek Cumhuriyeti olmak üzere seçilmiş 10 Avrupa ülkesindeki reel faiz oranının durağanlığını 2002:1-2020:12 arası aylık gözlemler doğrultusunda incelemeyi amaçlamaktadır. Sollis (2009) tarafından geliştirilen ve doğrusal olmayan birim kök testlerinden biri olan asimetrik üstel yumuşak geçiş eşik otoregresif model (AESTAR) birim kök testi ile serilerin durağanlıkları test edilmiş ve sonuçlara göre Belçika dışındaki ülkelerde uzun dönem reel faiz oranı serilerinin birim köklü olduğu tespit edilmiştir.

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Cite This Article

ÖZAYTÜRK, G., ALPER, A. E. (2022). TESTING THE INTEREST RATE HYSTERESIS FOR SELECTED EUROPEAN COUNTRIES: FINDINGS OF NONLINEAR UNIT ROOT TEST. Doğuş Üniversitesi Dergisi, Cilt: 23 - Sayı: 1, 59–70. https://ajindex.com/articles/490226

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