UZUN DÖNEM FAİZ ORANLARININ DURAĞANLIĞI: DOĞRUSAL OLMAYAN FOURIER BİRİM KÖK TESTİNDEN BULGULAR

Yıl 2024, , 944 - 957, 10.10.2024

Fındık Özlem Alper , Ali Eren Alper

https://doi.org/10.25287/ohuiibf.1510489

Öz

Bu çalışma, uygulanacak para politikalarının etkinliğini belirlemek amacıyla OECD ülkeleri arasında uzun vadeli reel faiz oranları en yüksek olan ilk 10 ülke için uzun vadeli reel faiz oranlarının durağanlığını araştırmayı amaçlamaktadır. Çalışma faiz oranlarına yönelik olarak uygulanacak politikaların etkinliğinin belirlenmesi için, hem yapısal kırılmaları hem de doğrusal olmamayı dikkate alarak yapılan ilk çalışmalardan birisidir. Ranjbar vd. (2018) hem yapısal değişikliklere hem de doğrusal olmamaya izin veren birim kök testi sonuçlarına göre uzun vadeli reel faiz oranlarının Türkiye ve Kolombiya için seviyede durağan olduğu; ABD, Şili, Macaristan, İzlanda, Kore, Norveç, Polonya ve Kanada için ise durağan olmadığı tespit edilmiştir. Elde edilen sonuçlara göre Türkiye ve Kolombiya’da faiz oranlarına yönelik olarak uygulanacak politikaların etkinsiz olacağını çünkü faiz oranlarının ortalamaya dönme eğiliminde olduğu belirlenmiştir.

Anahtar Kelimeler

Para politikası, Faiz oranları histerisi, Fourier

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

Öz

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.

Anahtar Kelimeler

Monetary policy, Interest rate hysteresis, Fourier

Kaynakça

• Appelt, K. (2016). Keynes' theory of the interest rate: A critical approach. Theory, Methodology, Practice-Review of Business and Management, 12(01), 3-8.
• Atkins, F. J. and Coe, P. J., 2002. An ARDL Bounds Test of The Long-Run Fisher Effect in The United States and Canada. Journal of Macroeconomics, 24(2), 255-266.
• Atkins, F. J. and Serletis, A., 2003. Bounds Tests of The Gibson Paradox and The Fisher Effect: Evidence From Low‐Frequency International Data. The Manchester School, 71(6), pp. 673-679.
• Bai, J. and Perron, P., 2003. Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 18(1), 1-22.
• Balparda, B., Caporale, G. M. and Gil-Alana, L. A., 2015. The Fisher Relationship in Nigeria. Economics and Finance Working Paper Series, No. 15-10.
• Becker, R., Enders, W. and Lee, J., 2006. A Stationarity Test in The Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), pp. 381-409.
• Berument, H. and Froyen, R. T., 2021. The Fisher Effect on Long-Term UK Interest Rates in Alternative Monetary Regimes: 1844-2018. Applied Economics, pp. 1-15.
• Breeden, D. T., 1979. An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities. Journal of Financial Economics, 7(3), pp. 265-96.
• Canarella, G., Gil-Alana, L., Gupta, R. and Miller, S., 2020. The Behavior of Real Interest Rates: New Evidence From A Suprasecular Perspective. University of Pretoria Department of Economics Working Paper Series, No. 2020-93.
• Caporale, T. and Grier, K. B., 2000. Political Regime Change and The Real Interest Rate. Journal of Money, Credit and Banking, pp. 320-334.
• Caporale, G. M., Gil-Alana, L. A. and Martin-Valmayor, M. Á., 2021. Non-Linearities and Persistence in US Long-Run Interest Rates. Applied Economics Letters, pp. 1-5.
• Cass, D., 1965. Optimum Growth in an Aggregative Model of Capital Accumulation. The Review of Economic Studies, 32(3), pp. 233-240.
• Christopoulos, D. K. and León-Ledesma, M. A., 2010. Smooth Breaks and Non-Linear Mean Reversion: Post- Bretton Woods Real Exchange Rates. Journal of International Money and Finance, 29(6), pp. 1076-1093.
• Clemente, J., Montañés, A. and Reyes, M., 1998. Testing for a Unit Root in Variables With A Double Change in The Mean. Economics Letters, 59(2), pp. 175-182.
• Coppock, L. and Poitras, M., 2000. Evaluating the Fisher Effect in Long-term Cross-country Averages. International Review of Economics & Finance, 9(2), pp. 181-192.
• Crowder, W. J. and Hoffman, D. L., 1996. The Long-run Relationship Between Nominal Interest Rates and Inflation: The Fisher Equation Revisited. Journal of Money, Credit and Banking, 28(1), pp. 102-118.
• Das, S., Gupta, R., Kanda, P. T., Reid, M., Tipoy, C. K. and Zerihun, M. F., 2014. Real Interest Rate Persistence in South Africa: Evidence and Implications. Economic Change and Restructuring, 47(1), pp. 41-62.
• Dickey, D. A. and Fuller, W. A., 1979. Distribution of The Estimators For Autoregressive Time Series With A Unit Root. Journal of the American statistical association, 74(366a), pp. 427-431.
• Diebold, F. X. and Rudebusch, G. D., 1991. On The Power of Dickey-Fuller Tests Against Fractional Alternatives. Economics Letters, 35, pp. 155-160.
• Enders, W. and Lee, J., 2012. A Unit Root Test Using A Fourier Series To Approximate Smooth Breaks. Oxford bulletin of Economics and Statistics, 74(4), pp. 574-599.
• Engsted, T., 1995. Does The Long-Term Interest Rate Predict Future Inflation? A Multi-Country Analysis. The Review of Economics and Statistics, 77(1), 42-54.
• Evans, M. D. and Lewis, K. K., 1995. Do Expected Shifts in Inflation Affect Estimates of The Long‐Run Fisher Relation?. The Journal of Finance, 50(1), pp. 225-253.
• Fisher, I., 1930. Theory of Interest: As Determined by Impatience to Spend Income and Opportunity to Invest It. Augustusm Kelly Publishers, Clifton.
• Gali, J., 1992. How Well Does The IS-LM Model Fit Postwar US Data?. The Quarterly Journal of Economics, 107(2), pp.709-738.
• Gallant, A. R., 1981. On the Bias in Flexible Functional Forms and An Essentially Unbiased Form: The Fourier Flexible Form. Journal of Econometrics, 15(2), pp.211-245.
• Garcia, R. and Perron, P., 1996. An Analysis of The Real Interest Rate Under Regime Shifts. The Review of Economics and Statistics, 78(1), pp.111-125.
• Gil-Alana, L. A., 2004. Long Memory in The US Interest Rate. International Review of Financial Analysis, 13(3), pp.265-276.
• Goodwin, B. K. and Grennes, T. J., 1994. Real Interest Rate Equalization and The Integration of International Financial Markets. Journal of International Money and Finance, 13(1), pp.107-124.
• Granville, B. and Mallick, S., 2004. Fisher Hypothesis: UK Evidence Over a Century. Applied Economics Letters, 11(2), pp.87-90.
• Guney, P. O., Telatar, E. and Hasanov, M., 2015. Time Series Behaviour of The Real Interest Rates in Transition Economies. Economic Research-Ekonomska istraživanja, 28(1), pp.104-118.
• Haug, A. A., 2014. On Real Interest Rate Persistence: The Role Of Breaks. Applied Economics, 46(10), pp.1058- 1066.
• Huizinga, J. and Mishkin, F. S., 1986. Monetary Policy Regime Shifts and The Unusual Behavior of Real Interest Rates. In Carnegie-Rochester Conference Series on Public Policy. 24, pp. 231-274.
• Jensen, M. J., 2009. The Long‐Run Fisher Effect: Can It Be Tested?. Journal of Money, Credit and Banking, 41(1), pp.221-231.
• Karanasos, M., Sekioua, S. H. and Zeng, N., 2006. On the Order Of Integration of Monthly US Ex-Ante and Ex- Post Real Interest Rates: New Evidence From Over A Century Of Data. Economics Letters, 90(2), pp.163- 169.
• Kiley, M. T., 2019. The Global Equilibrium Real Interest Rate: Concepts, Estimates, and Challenges. Annual Review of Financial Economics, 12, pp.305-326.
• King, R. G., Plosser, C. I., Stock, J. H. and Watson, M. W.,1991. Stochastic Trend and Economic Fluctuations. American Economic Review, 81, pp.819-840.
• Koopmans, T. C., 1965. On The Concept of Optimal Economic Growth, In The Economic Approach to Development Planning, Elsevier: Amsterdam, pp.225-300.
• Koustas, Z. and Lamarche, J. F., 2010. Evidence of Nonlinear Mean Reversion in The Real Interest Rate. Applied Economics, 42(2), pp.237-248.
• Koustas, Z. and Serletis, A., 1999. On The Fisher Effect. Journal of Monetary Economics, 44(1), pp.105-130. Lai, K. S., 2008. The Puzzling Unit Root in The Real Interest Rate and Its Inconsistency with Intertemporal Consumption Behavior. Journal of International Money and Finance, 27(1), pp.140-155.
• Lai, K. S., 2004. On Structural Shifts and Stationarity of The Ex-Ante Real Interest Rate. International Review of Economics & Finance, 13(2), pp.217-228.
• Lai, K. S., 1997. Long‐Term Persistence in The Real Interest Rate: Some Evidence Of A Fractional Unit Root. International Journal of Finance & Economics, 2(3), pp.225-235.
• Lee, C. F. and Tsong, C. C., 2011. Do Real Interest Rates Really Contain A Unit Root? More Evidence From A Bootstrap Covariate Unit Root Test. Pacific Economic Review, 16(5), pp.616-637.
• Lucas Jr, R. E., 1978. Asset Prices in An Exchange Economy. Econometrica, 46(6): pp.1429-1445.
• Million, N., 2004. Central Bank's Interventions and The Fisher Hypothesis: A Threshold Cointegration Investigation. Economic Modelling, 21(6), pp.1051-1064.
• Mishkin, F. S., 1992. Is The Fisher Effect For Real?: A Reexamination Of The Relationship Between Inflation and Interest Rates. Journal of Monetary economics, 30(2), pp.195-215.
• Mishkin, F. S. and Simon, J., 1995. An Empirical Examination of The Fisher Effect in Australia. Economic Record, 71(3), pp.217-229.
• Neely, C. J. and Rapach, D. E., 2008. Real Interest Rate Persistence: Evidence and Implications. Federal Reserve Bank of St. Louis Review, 90(6), pp.609-641.
• Norrbin, O. and Smallwood, A. D., 2011. Mean Reversion in The Real Interest Rate and The Effects of Calculating Expected Inflation. Southern Economic Journal, 78(1), pp.107-130.
• Ollech, D. and Webel, K., 2020. A Random Forest-Based Approach to Identifying The Most Informative Seasonality Tests. Bundesbank Discussion Paper, (No. 55/2020).
• Omay, T., Corakcı, A. and Emirmahmutoglu, F., 2017. Real Interest Rates: Nonlinearity and Structural Breaks. Empirical Economics, 52(1), pp.283-307.
• Ozdemir, Z. A., Ekinci, C. and Gokmenoglu, K., 2015. International Evidence on Real Interest Rate Persistence. The Singapore Economic Review, 60(04), 1550087.
• Phillips, P. C., 2005. Econometric Analysis of Fisher's Equation. American Journal of Economics and Sociology, 64(1), pp.125-168.
• Ranjbar, O., Chang, T., Elmi, Z. M. and Lee, C. C., 2018. A New Unit Root Test Against Asymmetric ESTAR Nonlinearity with Smooth Breaks. Iranian Economic Review, 22(1), pp.51-62.
• Rapach, D. E. and Weber, C. E., 2004. Are Real Interest Rates Really Nonstationary? New Evidence From Tests with Good Size and Power. Journal of Macroeconomics, 26(3), pp. 409-430.
• Rapach, D. E. and Wohar, M. E., 2005. Regime Changes in International Real Interest Rates: Are They A Monetary Phenomenon?. Journal of Money, Credit and Banking, 37(5), pp.887-906.
• Rapach, D. E. and Wohar, M. E., 2004. The Persistence in International Real Interest Rates. International Journal of Finance & Economics, 9(4), pp.339-346.
• Rose, A. K., 1988. Is The Real Interest Rate Stable?. The Journal of Finance, 43(5), pp.1095-1112.
• Sekioua, S. H. and Zakane, A., 2007. On The Persistence of Real Interest Rates: New Evidence From Longhorizon Data. Quantitative and Qualitative Analysis in Social Sciences, 1(1), pp.63-77.
• Shapiro, M. D. and Watson, M. W., 1988. Sources of Business Cycle Fluctuations”, NBER Macroeconomics Annual, 3, pp.111-148.
• Snowdon, B., & Vane, H. R. (2005). Modern macroeconomics: its origins, development and current state. Edward Elgar Publishing.
• Sollis, R., 2009. A Simple Unit Root Test Against Asymmetric STAR Nonlinearity with An Application to Real Exchange Rates in Nordic Countries. Economic modelling, 26(1), pp.118-125.
• Taylor, J. B., 1993. Discretion Versus Policy Rules in Practice. Carnegie-Rochester Conference series on Public Policy, 39, pp.195-214.
• Tsay, W. J., 2000. Long Memory Story of The Real Interest Rate. Economics Letters, 67(3), pp.325-330.
• Wallace, M. S. and Warner, J. T., 1993. The Fisher Effect and The Term Structure of Interest Rates: Tests of Cointegration. The Review of Economics and Statistics, 75(2), pp.320-324.