Convergence of Real Capital Market Interest Rates-Evidence from Inflation Indexed Bonds

被引：2

作者：

Herwartz, Helmut ^{[1
]}

Roestel, Jan ^{[1
]}

机构：

[1] Univ Kiel, Inst Stat & Okonometrie, D-24098 Kiel, Germany

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2011年 / 43卷 / 07期

关键词：

Treasury inflation-protected securities; real interest parity; uncovered interest parity; ex ante real interest rates; market integration; US dominance; EXCHANGE-RATES; TIME-SERIES; PARITY HYPOTHESIS; INTEGRATION; POLICY; TESTS;

D O I：

10.1111/j.1538-4616.2011.00434.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the convergence of long-term ex ante real interest rates (RIRs) obtained fromCanadian, French, UK, and U.S. inflation indexed government bonds. In contrast to previous research, our evidence suggests full convergence in the long run and, hence, capital market integration. For the same sample period, global convergence is rejected for RIRs measured in conventional terms. From these results, we conclude that previous tests of the long-run real interest rate parity might have suffered from weak measurement of real capital market interest rates.

引用

页码：1523 / 1541

页数：19

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