English, Article, Journal or magazine article edition: Policy-Induced Mean Reversion in the Real Interest Rate? Zisimos Koustas; Jean-Francois Lamarche

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Bookmark: http://trove.nla.gov.au/version/139810
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Policy-Induced Mean Reversion in the Real Interest Rate?
Author
  • Zisimos Koustas
  • Jean-Francois Lamarche
Physical Description
  • preprint
Notes
  • This paper 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.
  • RePEc:brk:wpaper:0601
  • This paper 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, Germany, Italy, and the US. For these countries we estimate nonlinear models to capture the dynamics of the ex-post real interest rate.
  • Fisher Effect; Unit Roots; Self-Exciting Threshold Autoregression
  • RePEc:brk:wpaper:0503
Language
  • English
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