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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.

Full paper(269 KB PDF)

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