STATIONARITY OF LONG-TERM REAL INTEREST RATES: FINDINGS FROM NONLINEAR FOURIER UNIT ROOT TEST

Authors : Fındık Özlem Alper, Ali Eren Alper

Pages : 944-957

Doi:10.25287/ohuiibf.1510489

View : 69 | Download : 104

Publication Date : 2024-10-10

Article Type : Research Paper

Abstract :This study aims to investigate the stationarity of long-term real interest rates for the top 10 countries with the highest long-term real interest rates among OECD countries in order to determine the effectiveness of monetary policies to be implemented. The study is one of the first to consider both structural breaks and nonlinearity to determine the effectiveness of policies to be implemented regarding interest rates. As a result of the Ranjbar et al. (2018) unit root test allowing for both structural changes and nonlinearity, the long-term real interest rates are stationary at the level for Turkey and Colombia; whereas not stationary at the level for the USA, Chile, Hungary, Iceland, Korea, Norway, Poland, and Canada. According to the results, it was determined that the policies to be implemented regarding interest rates in Türkiye and Colombia would be ineffective because interest rates tend to be mean-reverting.
Keywords : Para politikası, Faiz oranları histerisi, Fourier