On the equality of Real Interest Rates across borders in Integrated Capital Markets
AbstractThe purpose in this letter is first to review briefly the empirical results on the relationship between real interest rates and real exchange rates; this empirical literature provides little support for the hypothesis of Roll that expected real interest rates are equal in general. Our second aim is to discuss the theoretical conditions that have to be met for his hypothesis to hold.
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Bibliographic InfoPaper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2005/3.
Length: 9 pages
Date of creation: Nov 2005
Date of revision:
Publication status: Published in Open Economies Review , 18 (1), 2007
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More information through EDIRC
Real interest rates; Real Exchange rates; Roll;
Other versions of this item:
- Patrick Minford & David Peel, 2007. "On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets," Open Economies Review, Springer, vol. 18(1), pages 119-125, February.
- Minford, Patrick & Peel, David, 2006. "On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets," CEPR Discussion Papers 5611, C.E.P.R. Discussion Papers.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
- NEP-FMK-2005-10-29 (Financial Markets)
- NEP-IFN-2005-10-29 (International Finance)
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.:
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