Ex ante real interest rates and their differentials are tested for mean reversion using quarterly data on three-month treasury bill rates and consumer prices for twelve major industrial countries over the period 1972:1-1993:3. The results are strongly supportive of mean reversion, particularly when less conventional tests are employed. The conclusion that can be derived from the empirical evidence is that goods, capital, and foreign exchange markets have become highly integrated in the countries under consideration. Copyright 1996 by Scottish Economic Society.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)