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Some Evidence on Mean Reversion in ex ante Real Interest Rates

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  • Moosa, Imad A
  • Bhatti, Razzaque H
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    Abstract

    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.

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    Bibliographic Info

    Article provided by Scottish Economic Society in its journal Scottish Journal of Political Economy.

    Volume (Year): 43 (1996)
    Issue (Month): 2 (May)
    Pages: 177-91

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    Handle: RePEc:bla:scotjp:v:43:y:1996:i:2:p:177-91

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0036-9292
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    Cited by:
    1. Holmes, Mark J. & Maghrebi, Nabil, 2004. "Asian real interest rates, nonlinear dynamics, and international parity," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 387-405.
    2. Christian Dreger, 2010. "Does the nominal exchange rate regime affect the real interest parity condition?," FIW Working Paper series 064, FIW.
    3. Holmes, Mark J. & Maghrebi, Nabil, 2008. "Is there a connection between monetary unification and real economic integration? Evidence from regime-switching stationarity tests," Journal of International Money and Finance, Elsevier, vol. 27(6), pages 958-970, October.
    4. Shaista Alam & Muhammad Sabihuddin Butt & Azhar Iqbal, 2001. "The Long-run Relationship between Real Exchange Rate and Real Interest Rate in Asian Countries: An Application of Panel Cointegration," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 40(4), pages 577-602.
    5. Holmes, Mark J., 2002. "Does long-run real interest parity hold among EU countries? Some new panel data evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(4), pages 733-746.
    6. Michael G. Arghyrou & Andros Gregoriou & Alexandros Kontonikas, 2007. "Do real interest rates converge? Evidence from the European Union," Working Papers 2007_21, Business School - Economics, University of Glasgow.
    7. Holmes, Mark J. & Maghrebi, Nabil, 2006. "Are international real interest rate linkages characterized by asymmetric adjustments?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 384-396, October.

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