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Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective

Giorgio Canarella, Luis Gil-Alana (), Rangan Gupta () and Stephen Miller ()
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Giorgio Canarella: University of Nevada, Las Vegas, NV, U.S

No 2020106, Working Papers from University of Pretoria, Department of Economics

Abstract: Globalization, a complex phenomenon, reflects the interaction of many technological, cultural, economic, social, and environmental trends. This paper investigates a narrow aspect of three waves of globalizations that occurred in the last 150 years, which refers to the stochastic properties of real interest rates and real interest rate differentials using fractional integration methods. The empirical results provide evidence that in all three globalization waves rejects the hypothesis that a unit root exists in the real interest rate series and supports the hypothesis of real interest rates converge across countries. We fail to find evidence, however, that the results are uniformly consistent across the three waves, suggesting that each globalization involves its own distinct stochastic dynamics.

Keywords: Globalization; fractional integration; real interest rate parity (search for similar items in EconPapers)
JEL-codes: C22 E43 G15 N20 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2020-12
New Economics Papers: this item is included in nep-his, nep-mac and nep-ore
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