International Finance Discussion Papers (IFDP)
September 1993
Is there a World Real Interest Rate?
Joseph E. Gagnon and Mark D. Unferth
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.
PDF: Full Paper
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