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Ekonomi Bölümü Yayın Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/818

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Browsing Ekonomi Bölümü Yayın Koleksiyonu by Author "Emirmahmutoğlu, Furkan"

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    Citation Count: Corakçı, Ayşegül; Emirmahmutoglu, Furkan; Omay, Tolga, "Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence", Emprica, Vol.44, No.11, pp.91-120, (2017).
    Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence
    (Springer, 2017) Çorakçı, Ayşegül; Emirmahmutoğlu, Furkan; Omay, Tolga; 103299
    This paper investigates the validity of the real interest rate parity hypothesis (RIPH) using a panel unit root approach. For this purpose, first we estimate the possible nonlinear data-generating processes of the real interest rate differential series and using these estimates determine which panel unit root test is better for analyzing the RIPH. To this end, smooth transition autoregressive and threshold autoregressive (TAR) models are estimated for two different panels of countries: G7 and post-Soviet transition economies. The results show that the data displays both strong asymmetry and high transition speed. Therefore, secondly, we propose a new panel unit root test where the alternative is stationary with asymmetric TAR adjustment, and provide their empirical power properties. Finally, we demonstrate that our newly proposed test is able to provide conclusive evidence in favor of the RIPH in contrast to the other panel unit root tests considered.
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    Citation Count: Omay, Tolga; Çorakçı, Ayşegül; Emirmahmutoglu, Furkan, "Real interest rates: nonlinearity and structural breaks", Empirical Economics, Empirical Economics, Empirical Economic, Vol.52, No.1, pp.283-307, (2017).
    Real interest rates: nonlinearity and structural breaks
    (Physica-Verlag Gmbh & Co, 2017) Omay, Tolga; Çorakçı, Ayşegül; Emirmahmutoğlu, Furkan; 103299
    Real interest rate is a crucial variable that determines the consumption, investment and saving behavior of individuals and thereby acts as a key policy tool that the central banks use to control the economy. Although many important theoretical models require the real interest rates to be stationary, the empirical evidence accumulated so far has not been able to provide conclusive evidence on the mean reverting dynamics of this variable. To resolve this puzzle we re-investigate the stochastic nature of the real interest rates by developing unit root tests for nonlinear heterogeneous panels where the alternative hypothesis allows for a smooth transition between deterministic linear trends around which stationary asymmetric adjustment may occur. When the newly developed panel unit root tests are applied to the real interest rates of the 17 OECD countries, we were able to uncover overwhelming empirical support in favor of mean reversion in the short-run and long-run real interest rates. Therefore, these results show that the conclusions drawn from a miss-specified test that ignores the presence of either nonlinearity, structural breaks or cross sectional dependence can give quite misleading results about the stochastic behavior of the real interest rates.