 An Examination of Real Interest Rates in the United States, Canada, France, and Germany during the Recent Floating Exchange Rate PeriodAjay Patel and Srinivas R Akella Review of Quantitative Finance and Accounting, 1996, vol. 6, issue 3, 277-92 Abstract: This study reexamines the international linkage of ex-ante real interest rates using the theory of cointegrated processes. The univariate unit root tests suggest the existence of a nonstationary real interest rate in the United States, Canada, and (the former) West Germany. An ex-ante real interest rate is obtained by subtracting estimates of inflation from the nominal interest rate. The expected inflation rates are obtained by modeling changes in monthly CPI values as autoregressive moving average (ARMA) processes. A multivariate test for unit roots indicates that there are two cointegrating vectors, or one common stochastic trend, for the system of three nonstationary real interest rates. In addition, the log-likelihood ratio test fails to reject the null hypothesis that, in the long run, real interest rates in the United States are equal to those in Canada and West Germany. Copyright 1996 by Kluwer Academic Publishers Date: 1996 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:kap:rqfnac:v:6:y:1996:i:3:p:277-92 Ordering information: This journal article can be ordered from Access Statistics for this article Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee More articles in Review of Quantitative Finance and Accounting from Springer |
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