On the World Real Interest Rate

Jong Eun LEE

Working Paper Series from Institute of Economic Research, Seoul National University

Abstract: This paper characterises the world real interest rate as a common trend in real interest rates in Germany, Japan, and the United States from 1964Q1 to 1996Q2. This single common trend has desirable properties as the world real interest rate and has been moving together with the world real return on the stock market, and the world real fiscal policy variable, suggesting financial integration and empirical support for the effects of fiscal policy. Paradoxically, non-uniqueness of a single common trend, that is, its limitation as the world real interest rate, reveals the current state of international economic integration.

Keywords: the world real interest rate; economic integration; cointegration; common trend; principal component (search for similar items in EconPapers)
JEL-codes: F01 F15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mon
Date: 1999-04

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