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On the World Real Interest Rate

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Author Info
Jong Eun LEE
Abstract

This paper characterises the world real interest rate as a common trend in real interest rates in Germany, Japan, and the United States from 1964Q1 to 1996Q2. This single common trend has desirable properties as the world real interest rate and has been moving together with the world real return on the stock market, and the world real fiscal policy variable, suggesting financial integration and empirical support for the effects of fiscal policy. Paradoxically, non-uniqueness of a single common trend, that is, its limitation as the world real interest rate, reveals the current state of international economic integration.

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Publisher Info
Paper provided by Institute of Economic Research, Seoul National University in its series Working Paper Series with number no11.

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Date of creation: Apr 1999
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Handle: RePEc:snu:ioerwp:no11

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Related research
Keywords: the world real interest rate; economic integration; cointegration; common trend; principal component;

Find related papers by JEL classification:
F01 - International Economics - - General - - - Global Outlook
F15 - International Economics - - Trade - - - Economic Integration

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This page was last updated on 2009-12-2.

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