The Analysis of the Real Interest Rate with Long Memory Model: The Case of Turkey

YURTTAGÜLER İ. M., Kutlu S.

MALIYE DERGISI, no.164, pp.208-219, 2013 (ESCI) identifier

  • Publication Type: Article / Article
  • Publication Date: 2013
  • Journal Name: MALIYE DERGISI
  • Journal Indexes: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Page Numbers: pp.208-219
  • Keywords: Real Interest Rate, Long Memory, Persistence, ARFIMA Model
  • Istanbul University Affiliated: Yes

Abstract

In this study, long memory property of the real interest rate is analyzed for Turkey by using the monthly data for the period 2003:02-2012:03. In this respect, firstly the stationarity of the real interest rate is tested by using the ADF, Phillips Perron and KPSS unit root tests. Afterwards real interest rate is proved to be fractionally integrated by using the ARFIMA model. The findings of the study indicate that the real interest rate in Turkey exhibits long memory and is highly persistent during the period considered.