DSpace@Çankaya

Does the term structure of interest rate predict real economic activity? Nonlinear evidence from Turkey

Basit öğe kaydını göster

dc.contributor.author Omay, Tolga
dc.contributor.author Hasanov, Mübariz
dc.date.accessioned 2023-02-15T11:13:30Z
dc.date.available 2023-02-15T11:13:30Z
dc.date.issued 2013-01
dc.identifier.citation Omay, Tolga; Hasanov, Mübariz (2013). "Does the term structure of interest rate predict real economic activity? Nonlinear evidence from Turkey", Interest Rates: Term Structure Models, Monetary Policy, and Prediction, pp. 129-149. tr_TR
dc.identifier.isbn 9781613247204
dc.identifier.uri http://hdl.handle.net/20.500.12416/6245
dc.description.abstract In 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. tr_TR
dc.language.iso eng tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Monetary Policy tr_TR
dc.subject Nonlinearity tr_TR
dc.subject Term Structure of Interest Rates tr_TR
dc.title Does the term structure of interest rate predict real economic activity? Nonlinear evidence from Turkey tr_TR
dc.type bookPart tr_TR
dc.relation.journal Interest Rates: Term Structure Models, Monetary Policy, and Prediction tr_TR
dc.identifier.startpage 129 tr_TR
dc.identifier.endpage 149 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Ekonomi Bölümü tr_TR


Bu öğenin dosyaları:

Dosyalar Boyut Biçim Göster

Bu öğe ile ilişkili dosya yok.

Bu öğe aşağıdaki koleksiyon(lar)da görünmektedir.

Basit öğe kaydını göster