On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets

The purpose in this letter is first to review briefly the empirical results on the relationship between real interest rates and real exchange rates; this empirical literature provides little support for the hypothesis of Roll that expected real interest rates are equal in general. Our second aim is to discuss the theoretical conditions that have to be met for his hypothesis to hold.

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Year of publication:	2006-04
Authors:	Minford, Patrick ; Peel, David
Institutions:	C.E.P.R. Discussion Papers
Subject:	real exchange rates \| real interest rates \| roll

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 5611
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005124145