| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 978223 | Physica A: Statistical Mechanics and its Applications | 2007 | 7 Pages |
Abstract
This paper investigates the behaviour of interest rates in Turkey using a two-regime TAR model with an autoregressive unit root. This method recently developed by Caner and Hansen [Threshold autoregression with a unit roots, Econometrica 69 (6) (2001) 1555-1596] allows to simultaneously consider non-stationarity and non-linearity. Our finding indicates that the interest rate is a non-linear series and is characterized by a unit root process over the period 1990:1-2006:5.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Nilgun Cil Yavuz, Burak Guris, Veli Yilanci,