On the World Real Interest Rate
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.
|Date of creation:||Apr 1999|
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