Asymmetric Interest Rate Effects for the UK Real Economy*

Sensier, Marianne; Osborn, Denise R.; Öcal, Nadir

doi:10.1111/1468-0084.00028

Cited by 49 publications

(37 citation statements)

References 29 publications

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“…In consideration of the non-linear effect of urbanization on economic growth as well as the number of lag order of DINGDP and Durban, the rules are surely referred to Sensier and Osborn's (2002) approach. First, the third order of lag is the optimal, according to the test with VAR model, and the maximal number of lag order is set 3.…”

Section: Confirmation Of the Number Of Model Autoregressive Lag Ordermentioning

confidence: 99%

Testing Non-linear Effect of Urbanization on Economic Growth in China — Based on the Aspect of Financial Deepening

2015

Acta Oeconomica

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Smooth Transition Regression Model (STR)is applied to analyze the non-linear effect of urbanization on economic growth in this study. By collecting relevant variable data in 1978-2012, fi nancial deepening is selected as the transition variable to construct the STR Model which could refl ect the dynamic change of urbanizational economic growth effect. The result shows that urbanizational economic growth effect should present the characteristics of threshold and could be described with non-linear Smooth Transition Model (LSTR1). Meanwhile, the urbanizational economic growth effect should reveal asymmetry, in which the research fi ndings show contemporary fi nancial deepening (FISt) as a factor. Specifi cally, the linear feature appears when the FISt is lower than 0.3792 (before 1990), while it reveals non-linearity when the FISt exceeds 0.3792 (after 1990), and the non-linearity becomes the major factor in the urbanizational economic growth effect after 1990.

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Section: Confirmation Of the Number Of Model Autoregressive Lag Ordermentioning

confidence: 99%

Testing Non-linear Effect of Urbanization on Economic Growth in China — Based on the Aspect of Financial Deepening

2015

Acta Oeconomica

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“…Osborn (2000), van Dijk et al (2002) and Sensier et al (2002), among others, argue that it is possible to develop valid nonlinear formulations that improve the fit of the linear ones by means of an extensive search of STAR models; any possible inadequacy of the models will be unveiled at the validation stage.…”

Section: Unit Root Testing and Nonlinear Modelling 41 Unit Root Testingmentioning

confidence: 99%

Nonlinearities in real exchange rate determination: do African exchange rates follow a random walk?

Cuestas

Mourelle

2011

Applied Economics

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In this paper we aim at modelling the long run behaviour of the Real Effective Exchange Rates (REER) for a pool of African countries. Not much attention has been paid to this group of countries, in particular, to the existence of nonlinearities in the long run path of such a variable. Controlling for two sources of nonlinearites, i.e. asymmetric adjustment to equilibrium and nonlinear deterministic trends allows us to gain some insight about the behaviour of the African REER. We find that these sources of nonlinearites help us to explain the apparent unit root behaviour found applying linear unit root tests for most of the countries.J.E.L. Classification : C32, F15. Key words: PPP, Real Exchange Rate, Unit Roots, Nonlinearities. † Corresponding author: Nottingham Business School, Division of Economics, Nottingham Trent University, Burton Street, NG1 4BU, Nottingham, UK. e-mail: juan.cuestas@ntu.ac.uk. Juan Carlos Cuestas gratefully acknowledges the financial support from the CICYT and FEDER project SEJ2005-01163 and the Bancaja project P1.1B2005-03. The authors gratefully acknowledge an anonymous referee for his/her helpful comments. Juan Carlos Cuestas is a member of the INTECO research group. The usual disclaimer applies.

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“…This parameterization allows for capturing different types of behavior that a linear model cannot characterize in an appropriate way; moreover, once the state is given, the model is locally linear, involving an easy interpretation of the local dynamics. See Granger and Teräsvirta (1993), Teräsvirta (1998) and Sensier et al (2002) for further details on STs.…”

Section: The Smooth Transition Regression Modelmentioning

confidence: 99%

Nonlinearities and the Business Cycle in Spanish Imports: A Smooth Transition Regression Approach

Mourelle

Cancelo

2008

Int Adv Econ Res

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Asymmetric Interest Rate Effects for the UK Real Economy*

Cited by 49 publications

References 29 publications

Testing Non-linear Effect of Urbanization on Economic Growth in China — Based on the Aspect of Financial Deepening

Testing Non-linear Effect of Urbanization on Economic Growth in China — Based on the Aspect of Financial Deepening

Nonlinearities in real exchange rate determination: do African exchange rates follow a random walk?

Nonlinearities and the Business Cycle in Spanish Imports: A Smooth Transition Regression Approach

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