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Is there a world real interest rate?

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  • Joseph E. Gagnon
  • Mark D. Unferth

Abstract

This study uses panel data techniques to estimate a common compo­nent to the ex post real interest rates of nine countries with liberal capital markets over the past 15 years. We show that the residuals from such a regression have almost no serial correlation, and that each country's real interest rate is highly correlated with the estimated world real inter­est rate. The primary exception to these findings is the behavior of the U.S. real interest rate, which exhibits large and persistent deviations from the estimated world real interest rate.

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File URL: http://www.federalreserve.gov/pubs/ifdp/1993/454/default.htm
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File URL: http://www.federalreserve.gov/pubs/ifdp/1993/454/ifdp454.pdf
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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 454.

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Date of creation: 1993
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Handle: RePEc:fip:fedgif:454

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Keywords: Interest rates;

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References

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  1. Frederic S. Mishkin, 1984. "The Real Interest Rate: A Multi-Country Empirical Study," Canadian Journal of Economics, Canadian Economics Association, vol. 17(2), pages 283-311, May.
  2. Barro, R.J. & Martin, X.S., 1990. "World Real Interest Rates," RCER Working Papers 227, University of Rochester - Center for Economic Research (RCER).
    • Robert J. Barro & Xavier Sala-i-Martin, 1990. "World Real Interest Rates," NBER Chapters, in: NBER Macroeconomics Annual 1990, Volume 5, pages 15-74 National Bureau of Economic Research, Inc.
  3. Mark, Nelson C., 1985. "Some evidence on the international inequality of real interest rates," Journal of International Money and Finance, Elsevier, vol. 4(2), pages 189-208, June.
  4. Dutton, Marilyn Miller, 1993. "Real interest rate parity new measures and tests," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 62-77, February.
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