An Empirical Investigation into the International Real Interest Rate Linkages
Linear dynamic stochastic processes are derived for the ex ante real interest rates from those followed by the ex post real rates under the identifying assumption of rational expectations. The technique is used to study instantaneous and lagged effects of U.S. ex ante real rates on a number of OECD ex ante real rates. The author finds significant contemporaneous correlations between ex ante real rates. In the long run, however, real rates seem to be insulated.
Volume (Year): 20 (1987)
Issue (Month): 4 (November)
|Contact details of provider:|| Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4|
Web page: http://economics.ca/cje/
More information through EDIRC
|Order Information:|| Web: http://economics.ca/en/membership.php Email: |
When requesting a correction, please mention this item's handle: RePEc:cje:issued:v:20:y:1987:i:4:p:832-54. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Prof. Werner Antweiler)
If references are entirely missing, you can add them using this form.