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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page Is there a World Real Interest Rate?
Joseph E. Gagnon and Mark D. Unferth
1993-454  (September 1993)

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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