Are Central Bankers opportunistic? A threshold cointegration investigation

摘要: This paper examines the long-run relationship between short term nominal interest rates and insation using American data. As real rate is supposed to be either I(0) or I(1) without a consensus in empirical studies, we test for unit root framework of complete cointegration analysis ECM methods with switching regimes. Þrst step, conduct tests, while innovating by allowing break cointegrating vector as well mean shift constant equation following Gregory & Hansen (1996) methodology. will help us specify correctly any sudden exogenous change process. second undertake Threshold AutoRegressive (TAR) tests residuals non-linearity smooth transition from one regime another. The null hypothesis also tested alternative stationary Logistic Smooth Transition Autoregressive (LSTAR) model. An application US data shows strong evidence threshold behavior long run relationship. Asymmetries changes shocks Central Bank reaction function imply that monetary authorities are trying credible anti-insationary policy, reacting differently positive negative surprises. ∗The author very grateful helpful discussions Marie Bessec Melika Ben Salem. Obviously remaining errors omissions mine. †EUREQua, UMR 8594 du CNRS, Universite de Paris I, Maison des Sciences Economiques, 106-112 Boulevard l’Hopital, 75647 Cedex 13, France. Fax: 33 1 44 07 82 02. Email: million@univ-paris1.fr