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.

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Year of publication:	1987
Authors:	Modjtahedi, Bagher
Published in:	Canadian Journal of Economics. - Canadian Economics Association - CEA. - Vol. 20.1987, 4, p. 832-54
Publisher:	Canadian Economics Association - CEA

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Extent:	text/html
Type of publication:	Article
Notes:	Published
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005271626