Original scientific paper
https://doi.org/10.1080/1331677X.2015.1028240
Time series behaviour of the real interest rates in transition economies
Pelin Öge Güney
orcid.org/0000-0002-2093-9133
Erdinç Telatar
Mübariz Hasanov
Abstract
Stationarity properties of real interest rates are examined for 21 transition economies. Owing to transaction costs and other frictions, it is quite plausible that we are dealing with potential non-linearities in the real interest rate. Therefore we examine stationarity of the real interest rate allowing for non-linearities and asymmetric adjustment
with smooth structural change in the data generating process. Our findings suggest that taking account of non-linearities in the data generating process results in a rejection of the unit root null hypothesis for some countries which seem to be non-stationary according to conventional unit root tests. This finding points to the
importance of allowing for both structural breaks and asymmetric adjustment in the real interest rate series of transition countries.
Keywords
real interest rate; transition economies; structural break; nonlinearity; unit root
Hrčak ID:
171490
URI
Publication date:
20.12.2015.
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