درصد نرخ بهره های واقعی، نرخ تورم و اقتصاد باز : چشم انداز نظام راه گزینی در استرالیا و نیوزیلند

We investigate the time-series properties of Australian and New Zealand real interest rates within a Markov-switching framework. This enables us to identify characteristics in real interest rate behavior hitherto unacknowledged. We find that rates switch between alternative stationary regimes characterized by differing means, speeds of mean-reversion and volatility. For New Zealand, high rates of inflation increase the probability of remaining in a regime characterized by a faster speed of adjustment. Further application of this methodology considers the real interest rate differential between Australia and New Zealand and points to differing regimes based on volatility rather than persistence.

For a number of key reasons, the time-series behavior of real interest rates has constituted a keen area of research. A stationary real interest rate is consistent with a long-run Fisher effect which in turn implies that monetary policy does not exert long- run real effects on the macro-economy. In virtually all macro models where money matters, the primary real effect of monetary policy operates through real interest rates. If the real interest rate is truly policy invariant, then these models could be in direct conflict with the empirical facts. Furthermore, in macro models where deficits have real effects, fiscal expansions raise real interest rates and crowd out private spending. If it is an empirical regularity that the real interest rate is policy invariant, the credibility of these macro models is questionable (Caporale & Grier, 2000). A further consideration is with regard to financial models because the finding of a non-stationary real interest rate is problematic for consumption-based asset-pricing models. For example, Lucas (1978), Hansen and Singleton (1982) and others consider the problem of choosing an optimal consumption sequence. The first-order condition for this problem is the intertemporal Euler equation. However, this condition cannot be satisfied if stationary consumption growth is combined with a non-stationary real interest rate. There exist many recent studies that investigate the time-series properties of the real interest rate (see, inter alia, Caporale and Grier, 2000, Kapetanios et al., 2003, Meade and Maier, 2003, Malliaropulos, 2000, Million, 2003, Mills and Wang, 2003, Lai, 2004, Rapach and Weber, 2004, Rapach and Wohar, 2005, Caporale and Grier, 2005 and Phillips, 2005). As discussed in the following section, these studies consider stationarity in the context of regime shifts and structural breaks, long-memory processes, non-linear mean-reversion and procedures that are designed to enhance test power. The contribution of our paper is to test for real interest rate stationarity within a Markov-switching framework. Existing studies that include Garcia and Perron (1996), Gray (1996), Ang and Bekaert, 1998 and Ang and Bekaert, 2002 and others explore the persistence of interest rates within a regime-switching framework. In this paper, we build on the contributions made by these studies by considering the behavior of Australian and New Zealand interest rates. A Markov-switching approach offers valuable new insights into real interest rate behavior where regime-dependent episodes of stationarity or non-stationarity can be identified and analyzed. This is in contrast to existing studies that compute a single test statistic for testing non-stationarity across the entire study period. This approach can lead to a bias towards accepting the non-stationary null thereby rejecting stationarity, or give a false impression of the speed of adjustment towards long-run equilibrium, because there is no distinction between alternative stationary regimes. We also make two further contributions to the understanding of real interest rate behavior. First, we provide a new perspective on real interest rate adjustment by considering the influence of inflation on the speed of mean-reversion. In their seminal work, Ball, Mankiw, and Romer (1988) identified a positive association between the rate of trend inflation and the slope of the output-inflation trade-off. A weaker association between aggregate demand shocks and real output can arise because higher rates of trend inflation penalize agents for not adjusting their prices. In the context of our study, relatively high real interest rate persistence is consistent with relatively high short-run potency of demand-side policy. Within our Markov regime-switching framework, support for the New Keynesian perspective on policy effectiveness can be found where increases in inflation shift the real interest rate towards the regime of low persistence. A second contribution we provide is an insight into the changing nature of economic and financial integration between countries. Using the Markov regime-switching framework, we assess the extent to which real interest rate parity between Australia and New Zealand is subject to regime-switching. As before, we consider regimes based on persistence where, for example, low persistence of the real interest rate differential indicates closer integration. The paper is structured as follows. The following section considers the recent literature on real interest rate stationarity. The third section discusses the methodological approach. The fourth section discusses the data and results. We find that the New Zealand real interest rate has switched between alternative stationary regimes of high and low persistence. There is evidence that higher inflation increases the probability of the New Zealand real interest rate remaining in a low persistence regime. By contrast, further analysis involving the Australia–New Zealand real interest rate differential indicates that the degree of persistence is regime-invariant. The final section concludes.

In this paper, we have analyzed the time-series behavior of the real interest rate in Australia and New Zealand within a Markov-switching framework. Using an adapted unit-root test that allows for the possibility of the real interest rate switching between regimes of stationarity and non-stationarity, we have shown that real interest rates can switch between regimes characterized by differences in mean, variance and persistence. Existing unit-root tests are typically focused on a single regime with no allowance made for the changing time-series properties of interest rates. For both countries, we find evidence in favor of endogenous transition probabilities where inflation exerts a positive effect on the probability of the New Zealand real interest rate remaining in the regime characterized by low persistence. This is consistent with demand-side policy in New Zealand having greatest potency during regimes of low inflation. We find that Australia also exhibits evidence of regime-switching, but only in the context of volatility shifts. Further analysis of the real interest rate differential between Australia and New Zealand indicates regime shifting but on the basis of volatility rather than persistence. While real interest rate parity between Australia and New Zealand holds in the long-run, our findings suggest that one can obtain further insight into economic and financial integration by considering the nature of second moments of real interest rate differentials.