Narrow Results

This paper investigates the persistency in the ex-post real interest rates in the presence of endogenous structural breaks for Australia, Austria, Belgium, Canada, Denmark, France, Germany, Ireland, Italy, the Netherlands, New Zealand, Norway, Switzerland, the UK and the USA using seasonally adjusted quarterly data. The procedure used in this study extends the previous research in the respect of investigating degree of persistency of the ex-post real interest rates series by allowing for possible process shifts at endogenously determined more than two structural breaks dates following the principles suggested by Lumsdaine and Papell (1997). The results from the study show that real interest rates are very persistent when such breaks are not taken into account. However, the findings also indicate low persistency in real interest rates for all countries when such breaks are allowed in the data-generating process. We find that endogenously determined structural breaks substantially reduce the degree of persistency of the real interest rate series, which has important theoretical implications as well.

We use a quasi-out-of-sample forecasting experiment to study the predictive value of a short-term real interest rate for the volatility of gold-price returns. To this end, we use monthly U.S. data for the sample period from 1990/1 to 2022/2, and we study a standard effective-federal-funds-based real interest rate as well as a shadow real interest rate, which accounts for the recent extended zero-lower-bound period. We find that the real interest rate has predictive value for the subsequent realized volatility, and this predictive value turns out to be stronger in several specifications of our forecasting experiment for the shadow real interest rate than for the standard real interest rate. We evaluate the predictive value of forecasts in terms of an asymmetric loss function. Because gold is considered as a safe-haven asset, our results provide some important implications for portfolio decisions of investors.

The study aims to examine the relationships between variables from different perspectives by using Turkey’s Real exchange rate (TL/USD), Real interest rate and Consumer price index data. Data from 2012M7 to 2021M12 were used in the study. In order to examine the relationships between the variables, seasonality tests and stationarity studies, which are among the time series analysis methods, were performed. Then, the model was estimated within the scope of VAR Analysis, the compatibility of the model with the real data was checked, the validity and reliability tests of the model were made and the residuals were examined. Inter-variable Impact Response Function and Variance Decomposition statistics are discussed for the model that meets all assumptions. The use of current data in the study and the use of graphics for qualitative evaluation contributed to the literature. As a result of this study, it has been determined that the consumer price index moves independently of other variables, and there is a limited relationship between exchange rate and real interest in every respect. In the first part of the study, the introduction and the theoretical framework are discussed. In the second part, the literature is examined, and in the third part, the methods and applications used in the study are given. The last part is the conclusion and discussion.