Ekonomi Bölümü Yayın Koleksiyonu
Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/818
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Book Part Does the Term Structure of Interest Rate Predict Real Economic Activity? Nonlinear Evidence From Turkey(Nova Science Publishers, Inc., 2013) Omay, T.; Omay, Tolga; Hasanov, M.; Çankaya Meslek YüksekokuluIn this chapter we investigate whether the term structure of interest rates contains useful information about future real economic activity in Turkey for the period 1995:1 to 2003:3. The best model to describe the relationship between the term structure of interest rate and real economic activity in Turkey has been found to be Multiple Regime Smooth Transition Regression (MR-STR) model. Our results show that the relationship between the term structure of interest rates and the future economic activity is negative and significant in economic expansion and contraction periods, while it becomes positive and insignificant in moderate growth periods. In order to analyze these relationships, we employ correlation analysis by using nonparametric estimation technique. The results of correlation analysis are found to be consistent with the recursive Chow test and parameter stability tests. In addition, the correlation analysis indicates that the negative effects of the spread on real output can be explained by the interaction between the effects of the Expectation Hypothesis and Interest Transmission Channel. © 2012 by Nova Science Publishers, Inc. All rights reserved.Article Citation - WoS: 25Citation - Scopus: 23Real Interest Rates: Nonlinearity and Structural Breaks(Physica-verlag Gmbh & Co, 2017) Corakci, Aysegul; Emirmahmutoglu, Furkan; Omay, TolgaReal 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.