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Is there a world real interest rate?

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  • Gagnon, Joseph E
  • Unferth, Mark D

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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Suggested Citation

  • Gagnon, Joseph E & Unferth, Mark D, 1995. "Is there a world real interest rate?," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 845-855, December.
  • Handle: RePEc:eee:jimfin:v:14:y:1995:i:6:p:845-855
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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. 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. repec:mes:challe:v:33:y:1990:i:2:p:59-59 is not listed on IDEAS
    4. 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.
    5. 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.
    6. Mishkin, Frederic S., 1992. "Is the Fisher effect for real? : A reexamination of the relationship between inflation and interest rates," Journal of Monetary Economics, Elsevier, vol. 30(2), pages 195-215, November.
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